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~subject:"volatility smile"
~subject:"Optionsgeschäft"
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volatility smile
Optionsgeschäft
Volatility
84
Volatilität
84
Optionspreistheorie
78
Option pricing theory
74
Volatility smile
52
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
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options
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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35
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65
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Mizrach, Bruce
6
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5
Janssen, Alexandra
5
Perrakis, Stylianos
5
Agarwalla, Sobhesh Kumar
3
Boenkost, Wolfram
3
Constantinides, George M.
3
García-Machado, Juan J.
3
Rybczyński, Jarosław
3
Schmidt, Wolfgang M.
3
Studer-Suter, Rahel
3
Varma, Jayanth Rama
3
Aboura, Sofiane
2
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2
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2
Constantinaides, George M.
2
Ji, Dasheng
2
Kim, Sol
2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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Department of Economics, Rutgers University-New Brunswick
4
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3
Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
2
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1
Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
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NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
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4
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4
Review of derivatives research
4
The journal of futures markets
4
Working Paper
4
International journal of theoretical and applied finance
3
MPRA Paper
3
Applied Mathematical Finance
2
CPQF Working Paper Series
2
Economic modelling
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
2
Journal of banking & finance
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Review of Derivatives Research
2
Review of quantitative finance and accounting
2
The European journal of finance
2
Working paper series / University of Zurich, Department of Economics
2
2000 Conference, April 17-18 2000, Chicago, Illinois
1
Advances in Complex Systems (ACS)
1
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Asia-Pacific Financial Markets
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ECONIS (ZBW)
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RePEc
34
EconStor
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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
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:
7
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:
8
A general theory of option pricing
Geršôn, Dāwid
- In:
Options - 45 years since the publication of the …
,
(pp. 293-330)
.
2023
Persistent link: https://www.econbiz.de/10014366656
Saved in:
9
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:
10
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
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