//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Economics Papers from University Paris Dauphine"
~isPartOf:"Journal of Emerging Market Finance"
~subject:"Implied volatility smile"
~subject:"volatility smile"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Volatility smile"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Implied volatility smile
volatility smile
European-style option pricing
2
Derivatives
1
GARCH model
1
Implied Volatility
1
Monte Carlo simulations
1
Option Pricing
1
Option prices
1
Options
1
Risk model
1
Volatility Smile
1
Volatility smile
1
mean reversion
1
mean reversion speed
1
risk model
1
stochastic volatility
1
more ...
less ...
Online availability
All
Undetermined
1
Type of publication
All
Article
1
Book / Working Paper
1
Language
All
Undetermined
2
Author
All
Aboura, Sofiane
1
Almeida, Caio Ibsen Rodrigues de
1
Dana, Samy
1
Valeyre, Sébastien
1
Wagner, Niklas
1
Institution
All
Université Paris-Dauphine (Paris IX)
1
Published in...
All
Economics Papers from University Paris Dauphine
Journal of Emerging Market Finance
CoFE Discussion Paper
4
Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
4
Working Paper
4
International journal of theoretical and applied finance
3
MPRA Paper
3
Applied Mathematical Finance
2
CPQF Working Paper Series
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Review of Derivatives Research
2
The European journal of finance
2
The journal of futures markets
2
Working paper series / University of Zurich, Department of Economics
2
2000 Conference, April 17-18 2000, Chicago, Illinois
1
Advances in Complex Systems (ACS)
1
Applied economics
1
Asia-Pacific Financial Markets
1
BILTOKI
1
DFAEII Working Papers
1
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales)
1
ECON - Working Papers
1
Econometric Society 2004 North American Winter Meetings
1
Economic Modelling
1
Economic modelling
1
Emerging markets, finance and trade : EMFT
1
FSES Working Papers
1
International journal of finance & economics : IJFE
1
Journal for Economic Forecasting
1
Journal of banking & finance
1
Journal of commodity markets
1
Journal of derivatives & hedge funds
1
Journal of financial econometrics
1
Journal of international financial markets, institutions & money
1
Journal of risk
1
Management Science
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Ovidius University Annals, Economic Sciences Series
1
more ...
less ...
Source
All
RePEc
2
Showing
1
-
2
of
2
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Option Pricing with a Dynamic Fat-Tailed Model
Aboura, Sofiane
;
Valeyre, Sébastien
;
Wagner, Niklas
-
Université Paris-Dauphine (Paris IX)
-
2013
model adequately fits the
volatility
smile
dynamics particularly during stress periods. Furthermore, we find that the …
Persistent link: https://www.econbiz.de/10010891139
Saved in:
2
Stochastic Volatility and Option Pricing in the Brazilian Stock Marke
Almeida, Caio Ibsen Rodrigues de
;
Dana, Samy
- In:
Journal of Emerging Market Finance
4
(
2005
)
2
,
pp. 169-206
volatility process to end up with a parsimonious way of capturing the
volatility
smile
implied by close to the money options. In …
Persistent link: https://www.econbiz.de/10010772803
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->