Uncertainty of Volatility Estimates from Heston Greeks
نویسندگان
چکیده
منابع مشابه
Uncertainty of Volatility Estimates from Heston Greeks
Volatility is a widely recognized measure of market risk. As volatility is not observed it has to be estimated from market prices, i.e., as the implied volatility from option prices. The volatility index VIX making volatility a tradeable asset in its own right is computed from nearand next-term put and call options on the S&P 500 with more than 23 days and less than 37 days to expiration and no...
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2018
ISSN: 2297-4687
DOI: 10.3389/fams.2017.00027