The volatility smile of Canadian index options : estimations and tests

The volatility smile of Canadian index options : estimations and tests

This paper investigates the volatility smile in the Canadian Context with the TSE-60 index and the options on this underlying asset for the period between November 5, 1999 and February 14, 2001. Evidence of the existence of a Canadian volatility smile is provided. A possible reason for the existence...

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Bibliographic Details
Main Author: Bouchard, Isabelle
Format: Others
Published: 2002
Online Access:http://spectrum.library.concordia.ca/1565/1/MQ68415.pdf
Bouchard, Isabelle <http://spectrum.library.concordia.ca/view/creators/Bouchard=3AIsabelle=3A=3A.html> (2002) The volatility smile of Canadian index options : estimations and tests. Masters thesis, Concordia University.

Internet

http://spectrum.library.concordia.ca/1565/1/MQ68415.pdf
Bouchard, Isabelle <http://spectrum.library.concordia.ca/view/creators/Bouchard=3AIsabelle=3A=3A.html> (2002) The volatility smile of Canadian index options : estimations and tests. Masters thesis, Concordia University.

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