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

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

Dajiang Guo

Publication date: 6 February 2009

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

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B74: Economic models of real-world systems (e.g., electricity markets, etc.)

91B82: Statistical methods; economic indices and measures