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Forecasting performance of volatility models for pricing S&P CNX Nifty index options via Black-Scholes model
Singh, Vipul Kumar; Ahmad, Naseem - In: The IUP journal of applied finance : IJAF 17 (2011) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10009270171
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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
) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …
Persistent link: https://www.econbiz.de/10013334825
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An empirical testing of Black-Scholes option pricing model : a study of option moneyness (at-the-money)
Rinky; Singh, Shakti - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 208-229
Persistent link: https://www.econbiz.de/10015064444
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Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
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A semiparametric factor model for implied volatility surface dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218
Persistent link: https://www.econbiz.de/10003518308
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Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
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Empirical analysis of GARCH and practitioner Black-Scholes model for pricing S&P CNX Nifty 50 index options
Singh, Vipul Kumar; Ahmad, Naseem; Pachori, Pushkar - In: Decision 38 (2011) 2, pp. 51-67
Persistent link: https://www.econbiz.de/10009716076
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Stylized patterns of implied volatility in India : a case study of NSE Nifty options
Shaikh, Imlak; Padhi, Puja - In: Journal of Indian business research 6 (2014) 3, pp. 231-254
Persistent link: https://www.econbiz.de/10010492684
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Hedging the smirk
Bates, David S. - In: Finance research letters 2 (2005) 4, pp. 195-200
Persistent link: https://www.econbiz.de/10003219458
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Factors explaining movements in the implied volatility surface
Mixon, Scott - In: The journal of futures markets 22 (2002) 10, pp. 915-937
Persistent link: https://www.econbiz.de/10001696748