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~subject:"Black-Scholes model"
~subject:"stochastic volatility"
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Search: subject:"Volatility smile"
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Black-Scholes model
stochastic volatility
Volatility
84
Volatilität
84
Optionspreistheorie
78
Option pricing theory
74
volatility smile
70
Volatility smile
52
Optionsgeschäft
39
Option trading
38
Stochastischer Prozess
29
Stochastic process
28
Black-Scholes-Modell
23
Volatility Smile
19
Estimation
16
Option pricing
16
Schätzung
16
Implied volatility
14
Derivat
11
Derivative
11
Implied Volatility
11
Options
11
Statistical distribution
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Statistische Verteilung
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11
option pricing
11
Index-Futures
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Theorie
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options
10
Exchange rate
9
Index futures
9
Arbitrage
8
implied volatility
8
CAPM
7
Currency option
7
Devisenoption
7
GARCH model
7
Implied volatility smile
7
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7
Risk
7
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Branger, Nicole
2
Kim, Sol
2
Schlag, Christian
2
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1
Almeida, Caio Ibsen Rodrigues de
1
Armeanu, Dan
1
Bandi, Chaithanya
1
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1
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1
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1
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1
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1
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1
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1
Dana, Samy
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Rodrigues, Paulo
1
Rodrigues, Paulo Jorge Maurício
1
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1
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1
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Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales
1
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International journal of theoretical and applied finance
2
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2
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1
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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
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1
Quantitative finance and economics
1
Review of Pacific Basin financial markets and policies
1
Review of quantitative finance and accounting
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ECONIS (ZBW)
23
RePEc
4
EconStor
1
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1
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:
2
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
3
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:
4
Option prices and the probability of success of cash mergers
Bester, C. Alan
;
Martinez, Victor H.
;
Roşu, Ioanid
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 145-186
Persistent link: https://www.econbiz.de/10013542856
Saved in:
5
What determines
volatility
smile
in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
6
Level and slope of volatility smiles in Long-Run Risk Models
Branger, Nicole
;
Rodrigues, Paulo
;
Schlag, Christian
-
2017
the empirically weak link between the level and the slope of the implied
volatility
smile
for S&P 500 options. …
Persistent link: https://www.econbiz.de/10011750074
Saved in:
7
Level and slope of volatility smiles in Long-Run Risk Models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
-
2017
the empirically weak link between the level and the slope of the implied
volatility
smile
for S&P 500 options. …
Persistent link: https://www.econbiz.de/10011747186
Saved in:
8
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
9
Debt rollover-induced local volatility model
Sokolinskiy, Oleg
- In:
Review of quantitative finance and accounting
52
(
2019
)
4
,
pp. 1065-1084
Persistent link: https://www.econbiz.de/10012172912
Saved in:
10
Ad hoc black and scholes procedures with the time-to-maturity
Byun, Suk Joon
;
Kim, Sol
;
Rhee, Dong Woo
- In:
Review of Pacific Basin financial markets and policies
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011809745
Saved in:
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