The realized local volatility surface
Year of publication: |
2023
|
---|---|
Authors: | Ma, Yuming ; Sengoku, Shintaro ; Nakata, Kazuhide |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1246, ZDB-ID 2701678-X. - Vol. 12.2023, 1, p. 1-21
|
Subject: | realized volatility | volatility trading | local volatility | counterfactuals construction | Bayesian nonparametric | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Optionspreistheorie | Option pricing theory | Bayes-Statistik | Bayesian inference | Black-Scholes-Modell | Black-Scholes model |
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