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  • Search: subject:"Model free implied volatility"
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Year of publication
Subject
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Volatility 19 Volatilität 19 Option trading 17 Optionsgeschäft 17 Option pricing theory 15 Optionspreistheorie 15 Forecasting model 13 Prognoseverfahren 13 Model-free implied volatility 12 model-free implied volatility 12 Derivat 6 Derivative 6 corridor implied volatility 6 ARCH model 5 ARCH-Modell 5 Aktienindex 5 Black-Scholes implied volatility 5 Black-Scholes model 5 Black-Scholes-Modell 5 Corridor implied volatility 5 Index futures 5 Index-Futures 5 Model-Free Implied Volatility 5 Risikoprämie 5 Risk premium 5 Stock index 5 volatility forecasting 5 CDM 3 CER 3 CO2 market 3 Corridor Implied Volatility 3 EU ETS 3 EUA 3 Energy volatilities 3 Forecasting 3 India 3 Indien 3 Realized volatility 3 Swap 3 Variance risk-premia 3
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Online availability
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Free 14 Undetermined 13 CC license 1
Type of publication
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Article 22 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 16 Aufsatz in Zeitschrift 16 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Article 1
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Language
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English 25 Undetermined 9
Author
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Muzzioli, Silvia 9 Chevallier, Julien 3 Andersen, Torben G. 2 Bondarenko, Oleg 2 Chakrabarti, Prasenjit 2 Liu, Xiaoxi 2 Stahl, Philip 2 Xie, Jinming 2 Alentorn, Amadeo 1 Bhat, Aparna Prasad 1 Bollerslev, Tim 1 Byun, Suk Joon 1 Capriotti, Alessio 1 Chang, Ki Cheon 1 Choi, Seung-mook S. 1 Elyasiani, Elyas 1 FUKASAWA, M. 1 Fukasawa, Masaaki 1 Gambarelli, Luca 1 Garg, Sonia 1 Gibson, Michael 1 Gonzalez-Perez, Maria T. 1 Guan, Zhengfei 1 Han, Joong H. 1 ISHIDA, I. 1 Ishida, I. 1 Kang, Byung Jin 1 Kotha, Kiran Kumar 1 Lu, Shan 1 Lukose P. J., Jijo 1 MAGHREBI, N. 1 Maghrebi, N. 1 Markose, Sheri M. 1 Martin, Gael M. 1 Muzzioli, S. 1 Myers, Robert J. 1 OYA, K. 1 Oya, Kosuke 1 Ramachandran, Shankar 1 Reidy, Andrew 1
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Institution
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School of Economics and Management, University of Aarhus 4 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 3 Department of Econometrics and Business Statistics, Monash Business School 1 Université Paris-Dauphine (Paris IX) 1
Published in...
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CREATES Research Papers 4 The journal of futures markets 2 Applied economics letters 1 Asia-Pacific financial markets 1 Asia-Pacific journal of financial studies 1 Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 1 Computational Economics 1 DEMB working paper series 1 Department of Economics (DEMB) 1 Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 1 Discussion paper series / University of Essex, Department of Economics 1 Economic Modelling 1 Economic modelling 1 Economics Papers from University Paris Dauphine 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 International review of economics & finance : IREF 1 Journal of Indian business research 1 Journal of economics & business 1 Journal of empirical finance 1 Monash Econometrics and Business Statistics Working Papers 1 Multinational finance journal 1 Quantitative finance and economics 1 Quarterly Journal of Finance (QJF) 1 Review of Derivatives Research 1 Review of derivatives research 1 Review of economics & finance 1 The European Journal of Finance 1 The quarterly journal of finance 1 Working papers / Bank for International Settlements 1
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Source
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ECONIS (ZBW) 19 RePEc 14 EconStor 1
Showing 31 - 34 of 34
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Variance risk-premia in CO 2 markets
Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605
Persistent link: https://www.econbiz.de/10009731478
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MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX
FUKASAWA, M.; ISHIDA, I.; MAGHREBI, N.; OYA, K.; UBUKATA, M. - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 433-463
We propose a new method for approximating the expected quadratic variation of an asset based on its option prices. The quadratic variation of an asset price is often regarded as a measure of its volatility, and its expected value under pricing measure can be understood as the market's...
Persistent link: https://www.econbiz.de/10009194523
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Model-free implied volatility : from surface to index
Fukasawa, Masaaki; Ishida, I.; Maghrebi, N.; Oya, Kosuke; … - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 433-463
Persistent link: https://www.econbiz.de/10009269385
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Option-based forecasts of volatility: an empirical study in the DAX-index options market
Muzzioli, S. - In: The European Journal of Finance 16 (2010) 6, pp. 561-586
-Scholes implied volatility and the 'model-free' implied volatility, proposed by Britten-Jones and Neuberger [Option prices, implied … volatility and is a better predictor for future realised volatility than model-free implied volatility. …
Persistent link: https://www.econbiz.de/10008674498
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