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Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data

Audrino, Francesco; Fengler, Matthias - In: Journal of banking & finance 61 (2015), pp. 46-63

Persistent link: https://www.econbiz.de/10011545126

A variance spillover analysis without covariances : what do we miss?

Fengler, Matthias; Gisler, Katja I. M. - In: Journal of international money and finance 51 (2015), pp. 174-195

Persistent link: https://www.econbiz.de/10011475252

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - In: Oxford bulletin of economics and statistics 80 (2018) 1, pp. 135-159

Persistent link: https://www.econbiz.de/10011969544

A simple and general approach to fitting the discount curve under no-arbitrage constraints

Fengler, Matthias; Hin, Lin-Yee - In: Finance research letters 15 (2015), pp. 78-84

Persistent link: https://www.econbiz.de/10011552971

Multivariate volatility models

Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017

Persistent link: https://www.econbiz.de/10011794951

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305

Persistent link: https://www.econbiz.de/10012055743

Media-expressed tone, option characteristics, and stock return predictability

Chen, Yi-Hsuan; Fengler, Matthias; Härdle, Wolfgang; … - In: Journal of economic dynamics & control 134 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013384809

On extracting information implied in options

Benko, M.; Fengler, M.; Härdle, W.; Kopa, M. - In: Computational Statistics 22 (2007) 4, pp. 543-553

Persistent link: https://www.econbiz.de/10005613173

Arbitrage-free smoothing of the implied volatility surface

Fengler, Matthias - In: Quantitative Finance 9 (2009) 4, pp. 417-428

The pricing accuracy and pricing performance of local volatility models depends on the absence of arbitrage in the implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition probabilities and consequently mispricings and false...

Persistent link: https://www.econbiz.de/10004966870