Title of article :
Volatility of volatility of financial markets
Author/Authors :
Ingber، نويسنده , , L. and Wilson، نويسنده , , J.K.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1999
Abstract :
We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM) to model these issues.
Keywords :
OPTIONS , Eurodollar , Statistical mechanics , Volatility
Journal title :
Mathematical and Computer Modelling
Journal title :
Mathematical and Computer Modelling