Search Results - person:"Rybczyński, Jarosław"

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

This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish...

Persistent link: https://www.econbiz.de/10011984997

THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011 / CLASIFICACIÓN DE LAS SONRISAS DE VOLATILIDAD SEGÚN TRES PUNTOS DE MONETIZACIÓN: EVIDENCIA EMPÍRICA PARA LA BOLSA DE VARSOVIA DURANTE EL VOLÁTIL VERANO DE 2011

García-Machado, Juan J.; Rybczynski, Jaroslaw - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

Persistent link: https://www.econbiz.de/10011262769

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/10011958447

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

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