scientific article; zbMATH DE number 6126666

MaRDI QIDQ4902818zbMATH OpenFDO

Authors Silvia Muzzioli

Publication date 18 January 2013

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

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)

Recommendations

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

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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