Option data and modeling BSM implied volatility

DOI10.1007/978-3-642-17254-0_6MaRDI QIDQ3112456zbMATH OpenOpenAlexFDO

Authors Matthias R. Fengler

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL http://ux-tauri.unisg.ch/RePEc/usg/dp2010/DP-1032-Fe.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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