The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency

The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency
Author: Changhyon Cho
Publisher:
Total Pages: 360
Release: 1996
Genre: Financial futures
ISBN:


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The Stochastic Behavior of Market Volatility Implied in the Prices of Index Options and a Test of Market Efficiency
Language: en
Pages: 360
Authors: Changhyon Cho
Categories: Financial futures
Type: BOOK - Published: 1996 - Publisher:

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A Test of Market Efficiency Through the Development of Programmed Trading Strategies Utilizing the Information Value of the Implied Index Option Volatility Factor
Language: en
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Language: en
Pages: 48
Authors: Jaesun Noh
Categories: Stock exchanges
Type: BOOK - Published: 1993 - Publisher:

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To forecast future option prices, autoregressive models of implied volatility derived from observed option prices are commonly employed [see Day and Lewis (1990
Test of Market Efficiency
Language: en
Pages: 336
Authors: JinKyoung Kim
Categories:
Type: BOOK - Published: 1995 - Publisher:

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Pricing Efficiency in the Long-term Index Options Market
Language: en
Pages: 250
Authors: Anuradha Kandikuppa
Categories: Options (Finance)
Type: BOOK - Published: 1999 - Publisher:

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