Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226)
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scientific article; zbMATH DE number 5374177
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Evaluating volatility forecasts in option pricing in the context of a simulated options market |
scientific article; zbMATH DE number 5374177 |
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Evaluating volatility forecasts in option pricing in the context of a simulated options market (English)
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26 November 2008
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ARCH models
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forecast volatility
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model selection
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predictability
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standardized prediction error citerion
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option pricing
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0.9036208
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0.8991608
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0.8963673
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0.8901755
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0.88324726
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0.8829698
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