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~language:"eng"
~subject:"Capital income"
~subject:"Option trading"
~subject:"Volatility Smile"
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Capital income
Option trading
Volatility Smile
Volatilität
84
Volatility
82
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78
Option pricing theory
74
volatility smile
43
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39
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37
Stochastischer Prozess
29
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23
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16
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Agarwalla, Sobhesh Kumar
3
Benzoni, Luca
3
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3
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3
Pierdzioch, Christian
3
Rybczyński, Jarosław
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Schmeck, Maren Diane
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2
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2
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2
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2
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2
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2
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1
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1
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative finance
1
Quantitative finance and economics
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Quarterly journal of finance & accounting : QJFA
1
Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
44
EconStor
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RePEc
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1
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
2
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
3
Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad
- In:
Quantitative finance and economics
6
(
2022
)
3
,
pp. 505-517
Persistent link: https://www.econbiz.de/10013499509
Saved in:
4
Pricing Autocallables under Local-Stochastic Volatility
Farkas, Walter
;
Ferrari, Francesco
;
Ulrych, Urban
-
2022
match the implied
volatility
smile
and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …
Persistent link: https://www.econbiz.de/10013491888
Saved in:
5
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
6
Whose sentiment explains implied volatility change and smile?
Ryu, Doojin
;
Ryu, Doowon
;
Yang, Heejin
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473013
Saved in:
7
Carr and Wu's (2020) framework in the oil ETF option market
Jia, Xiaolan
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
Journal of commodity markets
31
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477744
Saved in:
8
Determinants of put-call disparity : KOSPI 200 index options
Kim, Sam
;
Lockwood, Jimmy
;
Lockwood, Larry Joseph
; …
- In:
The journal of behavioral finance : a publication of …
24
(
2023
)
3
,
pp. 303-314
Persistent link: https://www.econbiz.de/10014330974
Saved in:
9
A general theory of option pricing
Geršôn, Dāwid
- In:
Options - 45 years since the publication of the …
,
(pp. 293-330)
.
2023
Persistent link: https://www.econbiz.de/10014366656
Saved in:
10
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:
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