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Bootstrap derivative asset pricing
Markellos, Raphaēl N. - 1998
Persistent link: https://www.econbiz.de/10000996674
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Implizite Volatilitäten am Aktien- und Optionsmarkt
Dartsch, Andreas - 1999
Persistent link: https://www.econbiz.de/10001364354
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919426
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New insights into smile, mispricing, and value at risk : the hyperbolic model
Eberlein, Ernst - In: The journal of business : B 71 (1998) 3, pp. 371-405
Persistent link: https://www.econbiz.de/10001247514
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Option pricing under stochastic volatility and stochastic interest rate in the Spanish case
Sáez, Marc - In: Applied financial economics 7 (1997) 4, pp. 379-394
Persistent link: https://www.econbiz.de/10001226979
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Verhaltenspsychologische Erklärungsmöglichkeiten für asymmetrische Volatilität am deutschen Kapitalmarkt
Maack, Diether - 2012
Persistent link: https://www.econbiz.de/10009554493
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Implied index and option pricing errors : evidence from the Taiwan option market
Wang, Ching-ping; Huang, Hung-hsi; hung, Chien-chia - In: The international journal of business and finance … 5 (2011) 2, pp. 115-125
Persistent link: https://www.econbiz.de/10008809183
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Implied Index and Option Pricing Errors : Evidence from the Taiwan Option Market
Wang, Ching-Ping - 2011
implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …
Persistent link: https://www.econbiz.de/10013123061