Concepedia

Option-embedded Volatility Models

Option-Embedded Volatility Models is a class of financial econometric models that incorporate option price data to estimate and forecast volatility, distinguished by their explicit integration of market-traded option information to enhance the accuracy and forward-looking nature of volatility assessments.

2

Publications

169

Citations

7

Authors

2

Institutions

Publications per year

2017–2026

0

Parents

Publications

2

1–2 of 2

Authors

7

  1. AK
    Andrew Kalotay

    Yale University, United States

    1 publications · 87 citations

    1

    h-index

  2. YW
    Yi‐Hsien Wang

    National Cheng Kung University, Taiwan

    1 publications · 82 citations

    1

    h-index

  3. CT
    Chih-Hsiung Tseng

    National Cheng Kung University, Taiwan

    1 publications · 82 citations

    1

    h-index

  4. FJ
    Frank J. Fabozzi

    Ecole des Hautes Etudes Commerciales du Nord, France

    1 publications · 87 citations

    1

    h-index

  5. JP
    Jin-Tang Peng

    National Cheng Kung University, Taiwan

    1 publications · 82 citations

    1

    h-index

1–5 of 7

Institutions

2

  1. Yuanpei University

    Hsinchu, Taiwan

    1 h-index

    2 publications

    164 citations

  2. National Cheng Kung University

    Tainan City, Taiwan

    1 h-index

    2 publications

    164 citations

1–2 of 2

Venues

  1. Financial Analysts Journal

    FAJ · 1 publications · 87 citations

    1

    h-index

  2. 1

    h-index

1–2