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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| Main Author: | |
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| Format: | Article |
| Language: | Russian |
| Published: |
Plekhanov Russian University of Economics
2018-10-01
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| Series: | Вестник Российского экономического университета имени Г. В. Плеханова |
| Subjects: | |
| Online Access: | https://vest.rea.ru/jour/article/view/580 |
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