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- W4244037332 abstract "In this paper, we first review several alternative methods to estimate implied variance. Then we show how the MATLAB computer program can be used to estimate implied variance based upon the Black–Scholes model. In addition, we also discuss how the approximation method derived by Ang et al. (2013) can be used to estimate implied variance. Real-world data from US individual stock options are used to compare the estimation results using three typical alternative methods: regression method proposed by Lai et al., MATLAB computer program approach and approximation method derived by Ang et al. Also, this paper presents the empirical results of China ETF 50 options which were new in the financial markets." @default.
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- W4244037332 date "2018-12-01" @default.
- W4244037332 modified "2023-10-18" @default.
- W4244037332 title "Alternative Methods to Estimate Implied Variance: Review and Comparison" @default.
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- W4244037332 doi "https://doi.org/10.1142/s021909151850025x" @default.
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