The optimal corridor for implied volatility : from periods of calm to turmoil
Year of publication: |
September/October 2015
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Authors: | Muzzioli, Silvia |
Published in: |
Journal of economics & business. - Amsterdam [u.a.] : Elsevier, ISSN 0148-6195, ZDB-ID 716757-X. - Vol. 81.2015, p. 77-94
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Subject: | Corridor implied volatility | Model-free implied volatility | Volatility forecasting | Financial turmoil | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Finanzkrise | Financial crisis | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
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