Narrow search
Showing 1 - 2 of 2
Cover Image
A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)
Garlinski, Tomasz; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 1999
We discuss the origins and the possible reasons for the sudden death of the VOLAX contract.
Persistent link: https://www.econbiz.de/10009003627
Cover Image
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
Weron, Rafal; Wojcik, Slawomir - Hugo Steinhaus Center for Stochastic Methods, … - 2004
We analyze the implied volatility surface structure of ODAX options as traded on DTB (currently Eurex). We apply PCA to …
Persistent link: https://www.econbiz.de/10009004192