Does the world smile together? : a network analysis of global index option implied volatilities
Jing Chen, Qian Han, Doojin Ryu, Jing Tang
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Jing ; Han, Qian ; Ryu, Doojin ; Tang, Jing |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 77.2022, p. 1-20
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| Subject: | Contagion | Directed acyclic graph | Global index options markets | Implied volatility smile | Volatility spillover | Volatilität | Volatility | Welt | World | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory | Spillover-Effekt | Spillover effect | Optionsgeschäft | Option trading | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2021.101497 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013357053