An empirical study on the characterization of implied volatility and pricing in the Chinese option market
Author:
Publisher
Elsevier BV
Subject
Finance
Reference16 articles.
1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973
2. Option prices, implied price processes, and stochastic volatility;Britten-Jones;J. Finance,2000
3. Stochastic volatility for Lévy processes;Carr;Math. Finance,2003
4. Trade duration, informed trading, and option moneyness;Chung;Int. Rev. Econ. Finance,2016
5. Full and fast calibration of the Heston stochastic volatility model;Cui;Eur. J. Oper. Res.,2017
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1. Investment Behavior of Foreign Institutional Investors and Implied Volatility Dynamics: An Empirical Study on the Indian Equity Derivatives Market;Journal of Risk and Financial Management;2023-11-01
2. Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets;Finance Research Letters;2023-05
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