A simple expected volatility (SEV) index: Application to SET50 index options

DOI10.1016/J.MATCOM.2010.04.001zbMath1194.91202OpenAlexW2142518316MaRDI QIDQ991169

Chatayan Wiphatthanananthakul, Michael McAleer

Publication date: 2 September 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://repec.canterbury.ac.nz/cbt/econwp/1015.pdf

zbMATH Keywords

model selectiontime seriesBlack-Scholes formulavolatility indexprice forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures

Cites Work

• The Pricing of Options and Corporate Liabilities
• Estimating the dimension of a model
• Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
• A new look at the statistical model identification

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