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~person:"Agarwalla, Sobhesh Kumar"
~person:"Martini, Claude"
~subject:"Derivative"
~subject:"Implied Volatility"
~subject:"Volatility"
~subject:"volatility smile"
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Derivative
Implied Volatility
Volatility
volatility smile
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Option pricing theory
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Agarwalla, Sobhesh Kumar
Martini, Claude
Mizrach, Bruce
6
Jackwerth, Jens Carsten
5
Janssen, Alexandra
5
Perrakis, Stylianos
5
Aboura, Sofiane
4
Benzoni, Luca
3
Bianchi, Michele Leonardo
3
Boenkost, Wolfram
3
Constantinides, George M.
3
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3
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3
Geanakoplos, John
3
Lin, Shih-kuei
3
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3
Schmidt, Wolfgang M.
3
Studer-Suter, Rahel
3
Varma, Jayanth Rama
3
Branger, Nicole
2
Brorsen, B. Wade
2
Chen, Jing
2
Chen, Ren-Raw
2
Collin-Dufresne, Pierre
2
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2
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2
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2
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2
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2
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The journal of futures markets
2
Economics letters
1
The journal of computational finance
1
The journal of computational finance : JFC
1
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ECONIS (ZBW)
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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
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude
;
Mingone, Arianna
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
Saved in:
3
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:
4
The impact of COVID-19 on tail risk : evidence from Nifty index options
Agarwalla, Sobhesh Kumar
;
Varma, Jayanth Rama
;
Virmani, …
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607446
Saved in:
5
The extended SSVI volatility surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
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