Presentations at an Academic or Professional conference
Year
1996
Abstract
Volatility is the main factor to determine option prices. This parameter is not constant but varies through time, a property which complicates the pricing and hedging of derivative products. New options – options on volatility – have been studied by academics and considered for trading by Exchanges. In this paper I study the statistical behavior of volatility per se.
LONGIN, F. (1996). Etude de la loi statistique de la volatilité.