Exploring the role of the realized return distribution in the formation of the implied volatility smile
Year of publication: |
2012
|
---|---|
Authors: | Chalamandaris, Georgios ; Rompolis, Leonidas S. |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 36.2012, 4, p. 1028-1044
|
Subject: | Theorie | Theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
-
Steen, Marie, (2015)
-
Volatility modeling with leverage effect under laplace errors
Jiang, Zhengjun, (2018)
-
Prediction of α‐stable GARCH and ARMA‐GARCH‐M models
Mohammadi, Mohammad, (2017)
- More ...
-
Chalamandaris, Georgios, (2012)
-
Chalamandaris, Georgios, (2012)
-
The correlation structure of FX option markets before and since the financial crisis
Chalamandaris, Georgios, (2010)
- More ...