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Volatility modelling and forecasting with option prices: the proposal of a volatility index for the Italian market
Volatility modelling and forecasting with option prices: the proposal of a volatility index for the Italian market
2010
Silvia Muzzioli
Carlo Alberto Magni
Vittorio Moriggia
G. Iaquinta
G. Skiadopoulos
S. A. Sarantopoulou Chiourea
E Konstantinidi
J. Palomo Martinez
B. De Baets
A. Ruggieri T. Jwaid
Keywords:
Volatility smile
Variance swap
Financial economics
Stochastic volatility
Forward volatility
Business
SABR volatility model
Volatility swap
Finance
Volatility risk premium
Implied volatility
Volatility (finance)
Correction
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