TOWARDS RELIABLE BASELINES FOR DOCUMENT-LEVEL SENTIMENT ANALYSIS IN THE CZECH AND SLOVAK LANGUAGES


Nonparametric tests of strike price and expiration bias in the implied volatility of the South African All Share Index Future Contract

In this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) Home option pricing model for options on the All Share Index future.The assessment uses similar nonparametric tests as implemented in Rubinstein for data recorded over the 1992 to 1996 period.In the nonparametric tests we focus on the ex

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