Browsing Institutt for industriell økonomi og teknologiledelse by Subject "Implied volatility"
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A comparison of implied and realized volatility in the Nordic power forward market
(Journal article; Peer reviewed, 2015)In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series ...