Open AccessMonte Carlo scenarios for strategies with expectations of changing low volatility using European call and put options
Author(s) -
Héctor Alonso Olivares Aguayo,
Ambrosio Ortíz Ramírez,
Christian Bucio Pacheco
Publication year - 2015
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2015v5n1/olivares
Subject(s) - volatility (finance) , monte carlo method , economics , econometrics , volatility swap , autoregressive conditional heteroskedasticity , financial economics , volatility smile , implied volatility , mathematics , statistics