Is Volatility Risk Priced in the Option Market?
Preprint
- 1 January 1999
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Rubinstein (1994) shows evidence of a significant time pattern in the shape of the volatility smile after the crash of 1987 and proposes an implied binomial treKeywords
This publication has 2 references indexed in Scilit:
- Az?rbaycan Dilind? Qoşa Sözl?rin Fonetik Xüsusiyy?tl?riJournal of Turkish Studies, 2014
- ACH volume 79 Front matterArchaeologia, 1929