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Does net buying pressure affect the shape of implied volatility functions ?
This paper examines the relation between net buying pressure and the shape of the implied volatility are directly related to net buying pressure from public order flow. We also find that changes in implied volatility of S & P 500 options are most strongly affected by buying pressure for index puts, while changes in implied volatility of stock options are dominated by call option demend..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |