A simple expected volatility (SEV) index: Application to SET50 index options
type: Item
instance of: scholarly article
title: A simple expected volatility (SEV) index: Application to SET50 index options
zbMATH Open document ID: 1194.91202
author: Michael McAleer
author: Chatayan Wiphatthanananthakul
published in: Mathematics and Computers in Simulation
publication date: 2010-09-02T00:00:00Z
full work available at URL: 1015.pdf
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5777756
zbMATH Keywords: volatility index
zbMATH Keywords: model selection
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: price forecasting
zbMATH Keywords: time series
MaRDI profile type: Publication
OpenAlex ID: W2142518316
cites work: A new look at the statistical model identification
cites work: The pricing of options and corporate liabilities
cites work: Forecasting S\&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
cites work: Estimating the dimension of a model
DOI: 10.1016/J.MATCOM.2010.04.001
description: scientific article; zbMATH DE number 5777756