A neural network approach to understanding implied volatility movements

被引：22
|
作者：
Cao, Jay [1 ]
Chen, Jacky [1 ]
Hull, John [1 ]
机构：
[1] Univ Toronto, Joseph L Rotman Sch Management, 105 St George St, Toronto, ON M5S3E6, Canada
来源：
QUANTITATIVE FINANCE | 2020年 / 20卷 / 09期
关键词：
STOCK RETURNS; MODEL; RISK;
D O I：
10.1080/14697688.2020.1750679
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The expected response of an index volatility surface to index movements is quite different in high and low volatility environments
引用
收藏
页码：1405 / 1413
页数：9
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