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~subject:"options"
~subject:"volatility smile"
~type_genre:"Article in journal"
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options
volatility smile
Volatility
69
Volatilität
69
Option pricing theory
64
Optionspreistheorie
64
Option trading
34
Optionsgeschäft
34
Volatility smile
32
Stochastic process
25
Stochastischer Prozess
25
Black-Scholes model
21
Black-Scholes-Modell
21
Estimation
12
Schätzung
11
Derivat
10
Derivative
10
Implied volatility
10
Statistical distribution
10
Statistische Verteilung
10
Index futures
9
Index-Futures
9
Option pricing
9
CAPM
6
Capital income
6
Experiment
6
Kapitaleinkommen
6
Risiko
6
Risk
6
Arbitrage
5
Börsenkurs
5
Exchange rate
5
Implied volatility smile
5
Options
5
Share price
5
Wechselkurs
5
Currency option
4
Devisenoption
4
Stochastic volatility
4
implied volatility
4
ARCH model
3
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Undetermined
13
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Article
21
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Article in journal
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21
Working Paper
12
Arbeitspapier
5
Graue Literatur
5
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5
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1
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1
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English
21
Author
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Agarwalla, Sobhesh Kumar
2
Kim, Sol
2
Martini, Claude
2
Varma, Jayanth Rama
2
Aboura, Sofiane
1
Bester, C. Alan
1
Byun, Suk Joon
1
Câmara, Ana
1
Câmara, António
1
De Spiegeleer, Jan
1
Dempsey, Michael
1
Dokučaev, Nikolaj G.
1
Forys, Monika B.
1
García-Machado, Juan J.
1
Gatheral, Jim
1
Hendriks, Sebas
1
Kumar, Sudarshan
1
Lee, Jia-Ching
1
Lemmon, Michael L.
1
Li, Tao
1
Li, Yu
1
Lin, Chao-Yang
1
Lin, Shih-kuei
1
Liu, Huimei
1
Marquet, Ine
1
Martinez, Victor H.
1
Mingone, Arianna
1
Mitra, Sovan
1
Ni, Sophie Xiaoyan
1
Peña Sánchez de Rivera, Juan Ignacio
1
Popova, Ivilina
1
Radoičić, Radoš
1
Rhee, Dong Woo
1
Roşu, Ioanid
1
Rubio, Gonzalo
1
Rybczyński, Jarosław
1
Saurav, Sumit
1
Schoutens, Wim
1
SenGupta, Indranil
1
Serna, Gregorio
1
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International journal of theoretical and applied finance
3
International journal of financial engineering
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
The European journal of finance
2
The journal of futures markets
2
Applied economics
1
Emerging markets, finance and trade : EMFT
1
International journal of finance & economics : IJFE
1
Journal of banking & finance
1
Journal of derivatives & hedge funds
1
Journal of financial econometrics
1
Journal of risk
1
Review of Pacific Basin financial markets and policies
1
The journal of computational finance
1
The journal of computational finance : JFC
1
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ECONIS (ZBW)
21
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1
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10
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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
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:
3
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude
;
Mingone, Arianna
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
Saved in:
4
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:
5
Stock index options pricing under jump patterns driven by market states
Lin, Chao-Yang
;
Liu, Huimei
;
Lee, Jia-Ching
;
Lin, Shih-kuei
- In:
Emerging markets, finance and trade : EMFT
56
(
2020
)
4
,
pp. 840-859
Persistent link: https://www.econbiz.de/10012211508
Saved in:
6
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:
7
Rational approximation of the rough Heston solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
Saved in:
8
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:
9
Pricing and hedging options with rollover parameters
Kim, Sol
- In:
Journal of risk
19
(
2017
)
5
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011747093
Saved in:
10
A mean bound financial model and options pricing
Li, Yu
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011807105
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