On the implied volatility from a "purified" option price process
The option price, the implied volatility and the volatility index are often used as indicators of market sentiment about the future volatility. We proposed an alternative price process so-called the "purified" option price and its implied volatility for this purpose. Our aim is to reduce...
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| Format: | Conference Paper |
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Vietnam Mathematical Society
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/29348 |