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Market performance of options on the Chicago board options exchange

✍ Scribed by Rodney L. Roenfeldt; Philip L. Cooley; Michael J. Gombola

Book ID
119080511
Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
666 KB
Volume
7
Category
Article
ISSN
0148-2963

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πŸ“œ SIMILAR VOLUMES

The performance of traders' rules in opt
The performance of traders' rules in options market
✍ Sol Kim πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 155 KB

## Abstract This study focuses on the usefulness of the traders' rules to predict future implied volatilities for pricing and hedging KOSPI 200 index options. There are two versions of this approach. In the β€œrelative smile” approach, the implied volatility skew is treated as a fixed function of mon