Volatility estimation by combining stock price data and option data (Q896580)

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Volatility estimation by combining stock price data and option data
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    Statements

    title
    Volatility estimation by combining stock price data and option data (English)
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    author
    Yi Liu
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    Yazhen Wang
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    publication date
    10 December 2015
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    zbMATH Keywords
    Black-Scholes model
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    diffusion
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    GARCH model
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    option data
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    stock data
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    volatility estimation
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91B84
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    62M10
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    62F10
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    62F12
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    62P05
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    91G20
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    zbMATH DE Number
    6518702
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