The Forecasting Performance of Corridor Implied Volatility in the Italian Market
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DOI: 10.1007/s10614-012-9343-x
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More about this item
Keywords
Corridor implied volatility; Model-free implied volatility; Variance swap; Corridor variance swap; G13; G14;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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