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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Option implied beta and option return
Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142
Persistent link: https://www.econbiz.de/10011845923
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The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
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Analytic formula for option margin with liquidity costs under dynamic delta hedging
Lee, Kyungsub; Seo, Byoung Ki - In: Applied economics 53 (2021) 29, pp. 3391-3407
Persistent link: https://www.econbiz.de/10012589463
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The implied volatility smirk in SPY options
Guo, Wei; Gehricke, Sebastian A.; Ruan, Xinfeng; Zhang, … - In: Applied economics 53 (2021) 23, pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
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The power of deterministic option-implied trees in pricing European options
Elyasiani, Elyas; Muzzioli, Silvia - In: Applied economics 54 (2022) 22, pp. 2596-2609
Persistent link: https://www.econbiz.de/10013171107
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A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan; Vrins, Frédéric - In: Applied economics 50 (2018) 10, pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
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The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha; Matkovskyy, Roman; Aziz, Saqib - In: Applied economics 53 (2021) 17, pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
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A new factor to explain implied volatility smirk
Barbachan, José Santiago Fajardo - In: Applied economics 49 (2017) 40, pp. 4026-4034
Persistent link: https://www.econbiz.de/10011820005
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Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif; Kabir, Humayun; Dempsey, Michael - In: Applied economics 50 (2018) 56, pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384