Modelling the implied volatility surface based on Shanghai 50ETF options
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DOI: 10.1016/j.econmod.2017.04.009
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Cited by:
- Yue, Tian & Gehricke, Sebastian A. & Zhang, Jin E. & Pan, Zheyao, 2021. "The implied volatility smirk in the Chinese equity options market," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
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More about this item
Keywords
G13; C13; Dynamic factor model; Implied volatility surface; Kalman filter; Ornstein–Uhlenbeck process;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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