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A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options
Institution:1. Monetary Instruments and Markets Division, Bank of England, Threadneedle Street, London EC2R 8AH, UK;2. Department of Banking and Financial Management, University of Piraeus, Karaoli & Dimitriou 80, Piraeus 18534, Greece;3. Financial Options Research Centre, Warwick Business School, University of Warwick, UK;1. Department of Computer Science, Università di Torino, Turin, Italy;2. Mechanical Engineering Department, Politecnico di Milano, Milan, Italy;1. Department of Pharmaceutical Sciences and Experimental Therapeutics, College of Pharmacy, The University of Iowa, Iowa City, IA 52242, USA;2. Department of Pharmacology and Molecular Sciences, Johns Hopkins University School of Medicine, 725 North Wolfe St., Baltimore, MD 21205, USA;3. Department of Oncology, Johns Hopkins University School of Medicine, 725 North Wolfe St., Baltimore, MD 21205, USA;1. Cornea and Anterior Segment Service, Wilmer Eye Institute, Johns Hopkins Medical School, Baltimore, Maryland;2. Lions VisionGift, Portland, Oregon;3. Corneal Services, Devers Eye Institute, Portland, Oregon;4. Oncology Center-Biostatistics/Bioinformatics, Johns Hopkins University, Baltimore, Maryland;5. Department of Ophthalmology, Federal University of São Paulo/Paulista School of Medicine, São Paulo, Brazil
Abstract:
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