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~isPartOf:"Applied economics"
~person:"Lin, Chien-chih"
~person:"Zhang, Jin E."
~subject:"Behavioural finance"
~subject:"Black-Scholes model"
~subject:"Black-Scholes-Modell"
~subject:"Index futures"
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Behavioural finance
Black-Scholes model
Black-Scholes-Modell
Index futures
Option pricing theory
3
Option trading
3
Optionsgeschäft
3
Optionspreistheorie
3
Volatility
3
Volatilität
3
Derivat
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Implied volatility (IV)
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Anlageverhalten
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CAPM
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Estimation
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Financial crisis
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IV smirk
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IV smirks
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Index-Futures
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SPY options
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Schätzung
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Stochastic process
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Stochastischer Prozess
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VIX futures ETN
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VXX
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VXX options
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global financial crisis (GFC)
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heterogeneous beliefs
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option price
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prediction
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smile effect
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volatility
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Lin, Chien-chih
Zhang, Jin E.
Gehricke, Sebastian A.
2
Aziz, Saqib
1
Chen, Jian
1
Elyasiani, Elyas
1
Guo, Wei
1
Jalan, Akanksha
1
Ma, Chenghu
1
Matkovskyy, Roman
1
Muzzioli, Silvia
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Park, Seongkyu
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Applied economics
Emerging markets review
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International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of behavioral and experimental finance
1
Pacific-Basin finance journal
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
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The implied volatility smirk in SPY options
Guo, Wei
;
Gehricke, Sebastian A.
;
Ruan, Xinfeng
;
Zhang, …
- In:
Applied economics
53
(
2021
)
23
,
pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
Saved in:
2
The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.
;
Zhang, Jin E.
- In:
Applied economics
52
(
2020
)
8
,
pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
Saved in:
3
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih
- In:
Applied economics
46
(
2014
)
31/33
,
pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
Saved in:
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