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~person:"Bianchi, Michele Leonardo"
~person:"Rybczyński, Jarosław"
~subject:"ARCH model"
~subject:"Volatility smile"
~subject:"volatility smile"
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Volatility smile
volatility smile
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Bianchi, Michele Leonardo
Rybczyński, Jarosław
Mizrach, Bruce
7
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5
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1
Three-point
volatility
smile
classification: Evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
Investigaciones Europeas de Dirección y Economía de …
21
(
2015
)
1
,
pp. 17-25
investigate the
volatility
smile
derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011984997
Saved in:
2
Three-point
volatility
smile
classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
Investigaciones europeas de Dirección y Economía de …
21
(
2015
)
1
,
pp. 17-25
investigate the
volatility
smile
derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011958447
Saved in:
3
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
;
Rachev, …
-
Banca d'Italia
-
2014
time series and to fit the
volatility
smile
for exchange-traded options where the underlying is the main �Borsa Italianaï …
Persistent link: https://www.econbiz.de/10011099609
Saved in:
4
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
Saved in:
5
How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
The European journal of finance
23
(
2017
)
1/3
,
pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
Saved in:
6
Three-point
volatility
smile
classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
Investigaciones europeas de Dirección y Economía de …
21
(
2015
)
1
,
pp. 17-25
Persistent link: https://www.econbiz.de/10011592500
Saved in:
7
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
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