Joint modeling of call and put implied volatility
Author:
Publisher
Elsevier BV
Subject
Business and International Management
Reference41 articles.
1. Ahoniemi, K. (2007). Multiplicative models for implied volatility. HECER Discussion Papers, No. 172
2. Ahoniemi, K. (2008). Modeling and forecasting the VIX index. Unpublished working paper
3. The crash of ’87: Was it expected? The evidence from options markets;Bates;Journal of Finance,1991
4. Does net buying pressure affect the shape of implied volatility functions?;Bollen;Journal of Finance,2004
5. Modelling the implied volatility of options on Long Gilt futures;Brooks;Journal of Business Finance and Accounting,2002
Cited by 13 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The information content of ETF options;Global Finance Journal;2022-08
2. The Informational Role of Options Prices in China;SSRN Electronic Journal;2018
3. Diagnostic checking of the vector multiplicative error model;Computational Statistics & Data Analysis;2016-02
4. Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR;Eurasian Economic Review;2014-12
5. Modeling volatility smile: Empirical evidence from India;Journal of Derivatives & Hedge Funds;2013-08
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3