Work

Arbitrage-free implied volatility surfaces for options on single stock futures

Year: 2013

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2013.02.012

Authors: Antonie Kotzé, Coenraad C.A. Labuschagne, Merell L. Nair, Nadine Padayachi

Institutions: University of the Witwatersrand, Absa Bank (South Africa)

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2020705067

FWCI: 9.329

Cites: 39

Cited by: 24

Related to: 10