Open AccessEntropy as a measure of implied volatility in options market
Author(s) -
H.C. Taneja,
Luckshay Batra,
Pulkit Gaur
Publication year - 2019
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.5136222
Subject(s) - volatility (finance) , entropy (arrow of time) , implied volatility , econometrics , volatility smile , measure (data warehouse) , computer science , financial economics , statistical physics , economics , data mining , thermodynamics , physics
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom