The implied volatility smirk in SPY options
Wei Guo, Sebastian A. Gehricke, Xinfeng Ruan and Jin E. Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Guo, Wei ; Gehricke, Sebastian A. ; Ruan, Xinfeng ; Zhang, Jin E. |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 53.2021, 23, p. 2671-2692
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| Subject: | Implied volatility (IV) | IV smirks | SPY options | global financial crisis (GFC) | prediction | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Finanzkrise | Financial crisis | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2020.1866159 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012501393