Implied volatility functions: empirical tests

IEEE/IAFE Conference on Computational Intelligence for Financial Engineering, Proceedings (CIFEr)

Volumn , Issue , 1996, Pages 199-233

  Dumas, Bernard ^a   Fleming, Jeff ^a   Whaley, Robert E ^a  

^a DUKE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONSTANT VOLATILITY ASSUMPTION; DETERMINISTIC VOLATILITY FUNCTION; STOCK MARKET RETURNS; TRADE STRATEGY;

CORRELATION METHODS; ESTIMATION; FINANCIAL DATA PROCESSING; FORECASTING; MATHEMATICAL MODELS; RANDOM PROCESSES; TIME SERIES ANALYSIS;

NEURAL NETWORKS;

EID: 0030388472     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (0)