Evaluating volatility forecasts in option pricing in the context of a simulated options market
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چکیده
منابع مشابه
Evaluating volatility forecasts in option pricing in the context of a simulated options market
The performance of anARCHmodel selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed by comparing different volatility forecasts in option pricing through the simulation of an options market. Traders employing the SPEC model selection algorithm use the model with the lowest sum of squared standardized one-step-...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2005
ISSN: 0167-9473
DOI: 10.1016/j.csda.2004.05.030