EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Smile construction"
Narrow search

Narrow search

Year of publication
Subject
All
Optionspreistheorie 4 Volatilität 4 Butterfly 3 Delta Conventions 3 FX Quotations 3 FX Smile Construction 3 Malz Formula 3 Option pricing theory 3 Risk Reversal 3 Stochastischer Prozess 3 Strangle 3 Volatility 3 Currency option 2 Delta 2 Derivatives 2 Devisenoption 2 FX options 2 No-arbitrage 2 Option trading 2 Optionsgeschäft 2 Smile construction 2 Stochastic process 2 Theorie 2 Wechselkurs 2 microstructure noise 2 numerical errors 2 rare disaster concerns 2 volatility smile construction 2 Black-Scholes model 1 Black-Scholes-Modell 1 Derivat 1 Derivative 1 Devisenoptionsgeschäft 1 Disaster 1 Exchange rate 1 Index futures 1 Index-Futures 1 Katastrophe 1 Market microstructure 1 Marktmikrostruktur 1
more ... less ...
Online availability
All
Free 7
Type of publication
All
Article 4 Book / Working Paper 3
Type of publication (narrower categories)
All
Article 2 Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
more ... less ...
Language
All
English 6 Undetermined 1
Author
All
Muck, Matthias 4 Reiswich, Dimitri 3 Wystup, Uwe 3 Albert, Pascal 2 Herold, Michael 2
Institution
All
Frankfurt School of Finance and Management 1
Published in...
All
CPQF Working Paper Series 2 Journal of Futures Markets 1 Review of Derivatives Research 1 Review of derivatives research 1 The journal of futures markets 1 Working paper series / Centre for Practical Quantitative Finance 1
Source
All
ECONIS (ZBW) 3 EconStor 3 RePEc 1
Showing 1 - 7 of 7
Cover Image
Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: Journal of Futures Markets 43 (2023) 12, pp. 1807-1835
This research addresses the estimation of measures of rare disaster concerns from option prices. We propose a new smile … construction approach to obtain the required continuum of implied volatilities from discretely sampled observations that are …
Persistent link: https://www.econbiz.de/10014504042
Saved in:
Cover Image
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:
Cover Image
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of Derivatives Research 25 (2022) 3, pp. 293-314
This paper addresses arbitrage-free FX smile construction from near-term implied volatility dynamics proposed by Carr …
Persistent link: https://www.econbiz.de/10015193597
Saved in:
Cover Image
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias - In: Review of derivatives research 25 (2022) 3, pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
Cover Image
FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2010 - Version 1: September, 8th 2009, Version 2: March, 20th 2010
: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and … smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile … construction. …
Persistent link: https://www.econbiz.de/10011293913
Saved in:
Cover Image
FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - 2009
: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and … smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile … construction. …
Persistent link: https://www.econbiz.de/10010301714
Saved in:
Cover Image
FX volatility smile construction
Reiswich, Dimitri; Wystup, Uwe - Frankfurt School of Finance and Management - 2009
: The implied volatility smile. The smile construction procedure and the volatility quoting mechanisms are FX specific and … smile construction problem. Furthermore, we provide a new formula which can be used for an efficient and robust FX smile … construction. …
Persistent link: https://www.econbiz.de/10009642581
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...