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~language:"eng"
~person:"Agarwalla, Sobhesh Kumar"
~person:"Bianchi, Michele Leonardo"
~subject:"ARCH model"
~subject:"volatility smile"
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ARCH model
volatility smile
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Option pricing theory
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Agarwalla, Sobhesh Kumar
Bianchi, Michele Leonardo
Jackwerth, Jens Carsten
5
Perrakis, Stylianos
5
Janssen, Alexandra
4
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3
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The journal of futures markets
2
Computational economics
1
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ECONIS (ZBW)
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1
Harvesting the
volatility
smile
in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
2
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
3
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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