Option trading strategies based on semi-parametric implied volatility surface prediction
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References listed on IDEAS
- Chris Brooks & M. Currim Oozeer, 2002. "Modelling the Implied Volatility of Options on Long Gilt Futures," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(1&2), pages 111-137.
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More about this item
KeywordsOption Trading Strategies; Implied Volatility Surface; Option Pricing; Forecasting; Boosting; Regression Trees;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-08-22 (All new papers)
- NEP-CBE-2009-08-22 (Cognitive & Behavioural Economics)
- NEP-EXP-2009-08-22 (Experimental Economics)
- NEP-GTH-2009-08-22 (Game Theory)
- NEP-MIC-2009-08-22 (Microeconomics)
- NEP-UPT-2009-08-22 (Utility Models & Prospect Theory)
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