Towards a volatility index for the Italian stock market
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Keywordsvolatility index; Black-Scholes implied volatility; model-free implied volatility; corridor implied volatility; implied binomial trees;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-09 (All new papers)
- NEP-FMK-2010-10-09 (Financial Markets)
- NEP-FOR-2010-10-09 (Forecasting)
- NEP-MST-2010-10-09 (Market Microstructure)
- NEP-RMG-2010-10-09 (Risk Management)
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