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~person:"Agarwalla, Sobhesh Kumar"
~person:"Bianchi, Michele Leonardo"
~person:"Branger, Nicole"
~subject:"ARCH model"
~subject:"CAPM"
~subject:"Stochastischer Prozess"
~subject:"volatility smile"
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volatility smile
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Agarwalla, Sobhesh Kumar
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Branger, Nicole
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1
Harvesting the
volatility
smile
in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
2
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
3
Level and slope of volatility smiles in Long-Run Risk Models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
-
2017
the empirically weak link between the level and the slope of the implied
volatility
smile
for S&P 500 options. …
Persistent link: https://www.econbiz.de/10011747186
Saved in:
4
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
;
Rachev, …
-
Banca d'Italia
-
2014
time series and to fit the
volatility
smile
for exchange-traded options where the underlying is the main �Borsa Italianaï …
Persistent link: https://www.econbiz.de/10011099609
Saved in:
5
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
6
Level and slope of volatility smiles in long-run risk models
Branger, Nicole
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
86
(
2018
),
pp. 95-122
Persistent link: https://www.econbiz.de/10011973857
Saved in:
7
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
Tassinari, Gian Luca
;
Bianchi, Michele Leonardo
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391513
Saved in:
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