Πλοήγηση ανά Θέμα / Λέξη-Κλειδί "Stock options"
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An implied volatility index from stock options : construction and properties
(2007-05-29)A widely studied and quite useful measure of volatility is the implied volatility index. Although, there is a growing literature on the construction and the properties of implied volatility indices (Fleming et al., 1995, ... -
Constructing an implied volatility index for the greek market
(2011-10-12)This dissertation studies the construction of a Greek implied volatility index, named VASEX using the CBOE’s model-free methodology, reinforced with a tool provided by Jiang and Tian [(2005) and (2007)]. We use the cubic ... -
Trading spreads in implied volatility indices
(2009-10-26)