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~person:"Bianchi, Michele Leonardo"
~person:"Rybczyński, Jarosław"
~subject:"ARCH model"
~subject:"volatility smile"
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Bianchi, Michele Leonardo
Rybczyński, Jarosław
Mizrach, Bruce
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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:
2
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:
3
How Spanish options market smiles in summer : an empirical analysis for options on IBEX-35
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
The European journal of finance
23
(
2017
)
1/3
,
pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
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