Assessing the performance of symmetric and asymmetric implied volatility functions

Autor: Andreou, Panayiotis C., Charalambous, Chris, Martzoukos, Spiros H.

Publikováno v: Review of quantitative finance and accounting, 2014, Vol.42(3), pp.373-397 [Peer Reviewed Journal]
Review of Quantitative Finance and Accounting

This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterizes the implied volatility functions of S&P 500 Index options in the per

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::124c8d7e84de7b49619b556583adc48a
https://doi.org/10.1007/s11156-013-0346-z

Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.