Implied Volatility and the Risk-Free Rate of Return in Options Markets
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- Bianconi, Marcelo & MacLachlan, Scott & Sammon, Marco, 2015. "Implied volatility and the risk-free rate of return in options markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 1-26.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015.
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More about this item
Keywordsre-pricing options; forecasting volatility; seemingly unrelated regression; implied volatility;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FOR-2014-02-15 (Forecasting)
- NEP-MST-2014-02-15 (Market Microstructure)
- NEP-SOG-2014-02-15 (Sociology of Economics)
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