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THREE-POINT VOLATILITY SMILE CLASSIFICATION: EVIDENCE FROM THE WARSOW STOCK EXCHANGE DURING VOLATILE SUMMER 2011 / CLASIFICACIÓN DE LAS SONRISAS DE VOLATILIDAD SEGÚN TRES PUNTOS DE...
García-Machado, Juan J.; Rybczynski, Jaroslaw - 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 …
Persistent link: https://www.econbiz.de/10011262769
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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 …
Persistent link: https://www.econbiz.de/10011984997
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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
Persistent link: https://www.econbiz.de/10011592500
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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
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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 …
Persistent link: https://www.econbiz.de/10011958447