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~subject:"Volatility"
~subject:"incomplete markets"
~subject:"options"
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Search: subject:"Volatility smile"
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Volatility
incomplete markets
options
Volatilität
84
Optionspreistheorie
78
Option pricing theory
74
volatility smile
70
Volatility smile
53
Optionsgeschäft
39
Option trading
38
Stochastischer Prozess
29
Stochastic process
28
Black-Scholes model
23
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
11
Statistische Verteilung
11
Stochastic volatility
11
option pricing
11
Index-Futures
10
Theorie
10
Wechselkurs
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
Risiko
7
Risk
7
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Free
21
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Article
75
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20
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69
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69
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13
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10
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10
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2
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89
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6
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Jackwerth, Jens Carsten
5
Perrakis, Stylianos
5
Mizrach, Bruce
4
Agarwalla, Sobhesh Kumar
3
Constantinides, George M.
3
Fostel, Ana
3
García-Machado, Juan J.
3
Geanakoplos, John
3
Lin, Shih-kuei
3
Rybczyński, Jarosław
3
Varma, Jayanth Rama
3
Bianchi, Michele Leonardo
2
Branger, Nicole
2
Chen, Jing
2
Chen, Ren-Raw
2
Constantinaides, George M.
2
Han, Qian
2
Janssen, Alexandra
2
Jaskowski, Marcin
2
Kim, Sol
2
Marins, Jaqueline Terra Moura
2
Martini, Claude
2
McAleer, Michael
2
Mingone, Arianna
2
Palmon, Oded
2
Piccirilli, Marco
2
Rodrigues, Paulo Jorge Maurício
2
Ryu, Doojin
2
Schlag, Christian
2
Schmeck, Maren Diane
2
Sokolinskiy, Oleg
2
Vargiolu, Tiziano
2
Vicente, José Valentim Machado
2
Virmani, Vineet
2
Aboura, Sofiane
1
Adams, Michael B.
1
Albert, Pascal
1
Armeanu, Dan
1
Bandi, Chaithanya
1
Bennedsen, Mikkel
1
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Department of Economics, Rutgers University-New Brunswick
3
Cowles Foundation for Research in Economics, Yale University
2
Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
2
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Journal of banking & finance
5
Review of quantitative finance and accounting
5
CoFE Discussion Paper
4
International journal of theoretical and applied finance
4
Review of derivatives research
4
The journal of futures markets
4
Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
3
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2
Economic modelling
2
Finance research letters
2
International journal of financial engineering
2
International review of economics & finance : IREF
2
Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
2
The European journal of finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Working paper series / University of Zurich, Department of Economics
2
Annals of finance
1
Applied economics
1
Computational economics
1
Discussion paper / Tinbergen Institute
1
Economics letters
1
Emerging markets, finance and trade : EMFT
1
Energy economics
1
European financial management : the journal of the European Financial Management Association
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Global business and finance review
1
International journal of economic theory
1
International journal of finance & economics : IJFE
1
Journal for Economic Forecasting
1
Journal of Economic Theory
1
Journal of Indian business research
1
Journal of commodity markets
1
Journal of derivatives & hedge funds
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics
1
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ECONIS (ZBW)
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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
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
10
Probabilistic interpretation of Black implied volatility
Carr, Peter
;
Wu, Liuren
;
Zhang, Yuzhao
- In:
Options - 45 years since the publication of the …
,
(pp. 29-46)
.
2023
Persistent link: https://www.econbiz.de/10014366585
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