Implied volatility in oil markets (Q961396)

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Language	Label	Description	Also known as
English	Implied volatility in oil markets	scientific article

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scholarly article

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Implied volatility in oil markets (English)

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Svetlana Borovkova

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Ferry J. Permana

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Computational Statistics and Data Analysis

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publication date

30 March 2010

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.csda.2008.02.013

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A GMM procedure for combining volatility forecasts

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An option pricing formula for the GARCH diffusion model

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The Pricing of Options and Corporate Liabilities

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Generalised long-memory GARCH models for intra-daily volatility

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Implied volatility in oil markets

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An algorithm for nonparametric GARCH modelling.

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Volatility forecasting using threshold heteroskedastic models of the intra-day range

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Dynamics of implied volatility surfaces

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Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models

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On the applicability of stochastic volatility models

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Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

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Block sampler and posterior mode estimation for asymmetric stochastic volatility models

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Bootstrap prediction for returns and volatilities in GARCH models

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Comparing stochastic volatility models through Monte Carlo simulations

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Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH

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A class of nonlinear stochastic volatility models and its implications for pricing currency options

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Evaluating volatility forecasts in option pricing in the context of a simulated options market

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Identifiers

zbMATH Open document ID

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10.1016/j.csda.2008.02.013

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:961396

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