Cross-sectional variation of option-implied volatility skew

Liuren Wu, Meng Tian

Year of publication:	2024
Authors:	Wu, Liuren ; Tian, Meng
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 6, p. 3566-3580
Subject:	default risk \| cyclicality \| implied volatility skew \| information flow \| risk-neutral return skewness \| stock return prediction \| structural risk exposures \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Statistische Verteilung \| Statistical distribution \| Schätzung \| Estimation \| Prognoseverfahren \| Forecasting model \| Optionspreistheorie \| Option pricing theory \| Kreditrisiko \| Credit risk \| Risiko \| Risk \| Black-Scholes-Modell \| Black-Scholes model \| Optionsgeschäft \| Option trading \| Risikoprämie \| Risk premium

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1287/mnsc.2023.4872 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014551903