Skew and implied leverage effect : smile dynamics revisited
Vincent Vargas; Tung-Lam Dao; Jean-Philippe Bouchaud
| Year of publication: |
2015
|
|---|---|
| Authors: | Vargas, Vincent ; Dao, Tung-Lam ; Bouchaud, Jean-Philippe |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 4, p. 1-15
|
| Subject: | Option pricing | smile dynamics | skewness | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Index-Futures | Index futures |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403762