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Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework

Hördahl, Peter; Nordén, Lars - 1996

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Volume determination in stock and stock index futures markets : an analysis of arbitrage and volatility effects

Merrick, John J. - 1987

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Stock index arbitrage and stock price volatility in the Athens derivatives exchange

Michalopoulos, M.; Zopounidis, Constantin; Stavroulakis, K. - In: New trends in banking management : with 42 tables, (pp. 233-250). 2002

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Index arbitrage as cross-sectional market making

Holden, Craig W. - In: The journal of futures markets 15 (1995) 4, pp. 423-455

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Stochastic volatility and pricing bias in the Swedish OMX-index call option market

Byström, Hans N. E. - 2000

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Option pricing with neural networks vs. Black-Scholes under different volatility forecasting approaches for BIST 30 index options

İltüzer, Zeynep - In: Borsa Istanbul Review 22 (2022) 4, pp. 725-742

This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...

Persistent link: https://www.econbiz.de/10013334825