Approaches to forecasing option volatility

The article investigates a new approach to the idea of volatility. In spite of the well-known assumption that option volatility in future will be exactly the same as today, the author puts forward a method, which links the change in volatility to change of only one parameter, i.e. the price of basic...

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Autor principal: A. V. Azatskiy
Formato: article
Lenguaje:RU
Publicado: Plekhanov Russian University of Economics 2018
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Acceso en línea:https://doaj.org/article/833927450b614d74b00a4e571cd50236
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