Overstatement of implied variance in the dollar/yen currency option market

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Publication:1000421

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DOI10.1023/A:1009646209003zbMath1153.91712OpenAlexW219960893MaRDI QIDQ1000421

Dajiang Guo

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009646209003

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

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