The impact of COVID-19 on tail risk : evidence from Nifty index options
Sobhesh Kumar Agarwalla, Jayanth R. Varma, Vineet Virmani
| Year of publication: |
2021
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| Authors: | Agarwalla, Sobhesh Kumar ; Varma, Jayanth Rama ; Virmani, Vineet |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 204.2021, p. 1-4
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| Subject: | COVID-19 | Emerging markets | Option pricing | Risk-neutral density | Tail risk | Volatility smile | Volatilität | Volatility | Coronavirus | Optionspreistheorie | Option pricing theory | Schwellenländer | Emerging economies | Index-Futures | Index futures | Wirkungsanalyse | Impact assessment | Risiko | Risk | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.109878 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012607446