Modeling options markets by focusing on active traders
In this work, we study the complex behavior of options markets characterized by the volatility smile phenomenon, through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset. Speculators make decisi...
Saved in:
| Main Authors: | , , |
|---|---|
| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2013
|
| 在線閱讀: | https://hdl.handle.net/10356/84325 http://hdl.handle.net/10220/10153 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|