Browsing Department of Finance and Real Estate by Author "Angelo, Christopher G."

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    • Determinants Of Implied Volatility Movements In Individual Equity Options 

      Angelo, Christopher G. (Finance & Real Estate, 2010-11-01)
      In this study, I introduce a parsimonious model that explains implied volatility time series for individual stock options. The current state of risk management for individual equity options still seems to lack the presence ...