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Fitting and testing for the implied volatility curve using parametric models

Author

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  • Chuang‐Chang Chang
  • Pin‐Huang Chou
  • Tzu‐Hsiang Liao

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Suggested Citation

  • Chuang‐Chang Chang & Pin‐Huang Chou & Tzu‐Hsiang Liao, 2012. "Fitting and testing for the implied volatility curve using parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(12), pages 1171-1191, December.
    • Handle: RePEc:wly:jfutmk:v:32:y:2012:i:12:p:1171-1191
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    Cited by:

    1. Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.

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