Open AccessImplied Volatility Function Approximation with Korean ELWs (Equity-Linked Warrants) via Gaussian Processes
Author(s) -
Gyu-Sik Han
Publication year - 2014
Publication title -
management science and financial engineering
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2287-2361
pISSN - 2287-2043
DOI - 10.7737/msfe.2014.20.1.021
Subject(s) - implied volatility , volatility smile , volatility (finance) , econometrics , moneyness , equity (law) , economics , gaussian , warrant , valuation of options , variance swap , financial economics , forward volatility , physics , quantum mechanics , political science , law
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