scientific article; zbMATH DE number 6126666

zbMATH Open1255.91440MaRDI QIDQ4902818FDOQ4902818

Authors: Silvia Muzzioli 

Publication date: 18 January 2013

Full work available at URL: http://www.pphmj.com/abstract/7132.htm

Title of this publication is not available (Why is that?)

Recommendations

• Put-call parity and market frictions
• Semi‐efficient valuations and put‐call parity
• Put-call parity and generalized neo-additive pricing rules
• A Note on the Call-Put Parity and a Call-Put Duality
• Valuation and parities for exchange options
• Option and Futures Evaluation With Deterministic Volatilities¹
• Empirical option pricing: A retrospection
• Options markets, self-fulfilling prophecies, and implied volatilities

zbMATH Keywords

volatility forecastingput-call parityBlack-Scholes implied volatility

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cited In (2)

• Index volatility and the put-call ratio: a tale of three markets
• Semi‐efficient valuations and put‐call parity

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