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  • Search: subject:"Revised implied volatility"
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Year of publication
Subject
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Chinese Yuan derivatives 2 Interest rate parity 2 Market implied volatility 2 Revised implied volatility 2 Stochastic interest rate adjustment 2 China 1 Derivat 1 Derivative 1 Exchange rate 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Renminbi 1 Volatility 1 Volatilität 1 Wechselkurs 1 Welt 1 World 1 Yield curve 1 Zinsparität 1 Zinsstruktur 1
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Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Gao, Y. 2 Liang, J. 1 Liang, Jin 1
Published in...
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Economic Modelling 1 Economic modelling 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
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Cover Image
Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, J.; Gao, Y. - In: Economic Modelling 29 (2012) 4, pp. 1278-1285
Revised implied volatility curves and surfaces for the Chinese Yuan (CNY) exchange rate are obtained from market …
Persistent link: https://www.econbiz.de/10010573278
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