Browsing Vol. 05, Issue 01 by Subject "Implied volatility"

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    • Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index 

      Kokoszczynski, Ryszard; Sakowski, Paweł; Ślepaczuk, Robert (Pontificia Universidad Católica del Perú. CENTRUMPE, 2012)
      In this paper, we compared several Black option pricing models by applying different measures of volatility and examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) ...