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Using GMM to flatten the option volatility smile

Arnold, Tom - In: Research in international business and finance 20 (2006) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10003374200

A note on calculating portfolio variance with squares and rectangles

Arnold, Tom - In: Journal of financial education 45 (2019) 1, pp. 88-93

Persistent link: https://www.econbiz.de/10012654493

Inferring Risk-Averse Probability Distributions from Option Prices Using Implied Binomial Trees : Additional Theory and Extensions

Arnold, Tom - 2009

Arnold, Crack and Schwartz (ACS) (2010) generalize the Rubinstein (1994) risk-neutral implied binomial tree (R-IBT) model by introducing a risk premium. Their new risk-averse implied binomial tree model (RA-IBT) has both probabilistic and pricing applications. They use the RA-IBT model to...

Persistent link: https://www.econbiz.de/10013159307

Inferring risk-averse probability distributions from option prices using implied binomial trees

Arnold, Tom; Crack, Timothy Falcon; Schwartz, Adam - In: Financial econometrics modeling : derivatives pricing, …, (pp. 35-52). 2011

Persistent link: https://www.econbiz.de/10008988015

Calculating the VIX in Excel

Arnold, Tom; Earl, John H. - In: The journal of trading 3 (2008) 3, pp. 39-45

Persistent link: https://www.econbiz.de/10003758929