Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (Q960349)
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scientific article; zbMATH DE number 5383106
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| English | Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model |
scientific article; zbMATH DE number 5383106 |
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Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model (English)
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17 December 2008
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option
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threshold model
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implied stock prices
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BS model
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0.8369184732437134
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0.7031599879264832
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0.6988104581832886
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0.6983799338340759
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