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~subject:"Volatility smile"
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Volatility smile
Volatility
84
Volatilität
84
Optionspreistheorie
78
Option pricing theory
74
volatility smile
70
Optionsgeschäft
39
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
10
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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Undetermined
33
Free
8
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Article
45
Book / Working Paper
7
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Article in journal
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Aufsatz in Zeitschrift
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Arbeitspapier
1
Article
1
Graue Literatur
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English
37
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Fostel, Ana
4
García-Machado, Juan J.
4
Geanakoplos, John
4
Chourdakis, Kyriakos
3
Rybczyński, Jarosław
3
Bandi, Chaithanya
2
Bertsimas, Dimitris
2
Bianchi, Michele Leonardo
2
Chang, Charles
2
Ederington, Louis H.
2
Guan, Wei
2
Lin, Shih-kuei
2
Tzavalis, Elias
2
Aboura, Sofiane
1
Adams, Michael B.
1
Agarwalla, Sobhesh Kumar
1
BIANCHI, MICHELE LEONARDO
1
Bennedsen, Mikkel
1
Campani, Carlos Heitor
1
Carrasco, José A.
1
Charalambous, Chris
1
Chen, Jing
1
Chen, Ren-Raw
1
Christofides, Nicos
1
Chuang, Ming-Che
1
Constantinide, Eleni D.
1
Dixit, Alok
1
Fabozzi, Frank J.
1
Fedotov, Sergei
1
Fuh, Cheng-Der
1
Fuh, Cheng-der
1
Gemmill, Gordon
1
Guo, Qian
1
Jaskowski, Marcin
1
Kim, Sam
1
Kuo, I.-Doun
1
Kuo, I.-doun
1
Leippold, Markus
1
Li, Pengshi
1
Li, Xiaoxi
1
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Cowles Foundation for Research in Economics, Yale University
3
School of Economics and Finance, Queen Mary
2
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1
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Journal of banking & finance
4
Review of quantitative finance and accounting
4
Cowles Foundation Discussion Papers
3
Finance research letters
2
International review of economics & finance : IREF
2
Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE)
2
Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
2
Journal of Banking & Finance
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
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
1
Journal of Economic Theory
1
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1
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1
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1
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1
Mathematics and financial economics
1
Physica A: Statistical Mechanics and its Applications
1
Quantitative Finance
1
Quantitative finance
1
Review of derivatives research
1
The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
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ECONIS (ZBW)
33
RePEc
18
EconStor
1
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1
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:
2
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
3
Whose sentiment explains implied volatility change and smile?
Ryu, Doojin
;
Ryu, Doowon
;
Yang, Heejin
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473013
Saved in:
4
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:
5
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
6
What determines
volatility
smile
in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
7
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
8
The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
;
Virmani, …
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
Saved in:
9
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli, Marco
;
Schmeck, Maren Diane
;
Vargiolu, Tiziano
- In:
Energy economics
95
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012816581
Saved in:
10
A
volatility
smile
-based uncertainty index
Vicente, José Valentim Machado
;
Marins, Jaqueline …
- In:
Annals of finance
17
(
2021
)
2
,
pp. 231-246
Persistent link: https://www.econbiz.de/10012585519
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