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Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study … investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …

Persistent link: https://www.econbiz.de/10011958447

Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

Persistent link: https://www.econbiz.de/10011592500

How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35

García-Machado, Juan J.; Rybczyński, Jarosław - In: The European journal of finance 23 (2017) 1/3, pp. 153-169

Persistent link: https://www.econbiz.de/10011736237

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

Persistent link: https://www.econbiz.de/10011506354

Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo …

Persistent link: https://www.econbiz.de/10011577049

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10003376011

An Alternative Approach to Fast Implied Volatility Calculation

Orlando, Giuseppe - 2014

determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the options. This value …

Persistent link: https://www.econbiz.de/10013060651

A Generalized Derivation of The Black-Scholes Implied Volatility Through Hyperbolic Tangents

Mininni, Michele; Orlando, Giuseppe; Taglialatela, Giovanni - 2022

suffers from many limitations, it is still widely used to derive the implied volatility of options. This is particularly …

Persistent link: https://www.econbiz.de/10014235946

A Review on Implied Volatility Calculation

Orlando, Giuseppe - 2017

This paper aims to summarizing the different approaches in determining the implied volatility for the options. This … value is of particular importance since it is the main component of the option's price and because, among traders, options …

Persistent link: https://www.econbiz.de/10012960021

Stylized patterns of implied volatility in India : a case study of NSE Nifty options

Shaikh, Imlak; Padhi, Puja - In: Journal of Indian business research 6 (2014) 3, pp. 231-254

Persistent link: https://www.econbiz.de/10010492684