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~subject:"Derivative"
~subject:"Implied Volatility"
~subject:"Volatility"
~subject:"volatility smile"
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Derivative
Implied Volatility
Volatility
volatility smile
Volatilität
84
Optionspreistheorie
78
Option pricing theory
74
Volatility smile
53
Optionsgeschäft
39
Option trading
38
Stochastischer Prozess
29
Stochastic process
28
Black-Scholes model
23
Black-Scholes-Modell
23
Volatility Smile
19
Estimation
16
Option pricing
16
Schätzung
16
Implied volatility
14
Derivat
11
Options
11
Statistical distribution
11
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11
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11
option pricing
11
Index-Futures
10
Theorie
10
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options
10
Exchange rate
9
Index futures
9
Arbitrage
8
implied volatility
8
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7
Currency option
7
Devisenoption
7
GARCH model
7
Implied volatility smile
7
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48
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90
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47
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19
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10
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Mizrach, Bruce
6
Jackwerth, Jens Carsten
5
Janssen, Alexandra
5
Perrakis, Stylianos
5
Aboura, Sofiane
4
Agarwalla, Sobhesh Kumar
3
Benzoni, Luca
3
Bianchi, Michele Leonardo
3
Boenkost, Wolfram
3
Constantinides, George M.
3
Fostel, Ana
3
García-Machado, Juan J.
3
Geanakoplos, John
3
Lin, Shih-kuei
3
Rybczyński, Jarosław
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
Constantinaides, George M.
2
Fabozzi, Frank J.
2
Goldstein, Robert S.
2
Han, Qian
2
Jaskowski, Marcin
2
Ji, Dasheng
2
Kim, Kwanho
2
Kim, Sol
2
Marins, Jaqueline Terra Moura
2
Martini, Claude
2
McAleer, Michael
2
Mingone, Arianna
2
Palmon, Oded
2
Piccirilli, Marco
2
Primbs, James
2
Rodrigues, Paulo Jorge Maurício
2
Rubio Irigoyen, Gonzalo
2
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Department of Economics, Rutgers University-New Brunswick
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
Cowles Foundation for Research in Economics, Yale University
2
Université Paris-Dauphine (Paris IX)
2
Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
2
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1
Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
1
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1
Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
1
EconWPA
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Econometric Society
1
Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät, Université de Fribourg - Universität Freiburg
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Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
1
Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
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NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
1
School of Economics and Management, University of Aarhus
1
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Working Paper
6
Journal of banking & finance
5
Review of quantitative finance and accounting
5
CoFE Discussion Paper
4
Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
4
International journal of theoretical and applied finance
4
MPRA Paper
4
Review of derivatives research
4
The journal of futures markets
4
Applied Mathematical Finance
2
CPQF Working Paper Series
2
Cowles Foundation Discussion Papers
2
Economic modelling
2
Economics Papers from University Paris Dauphine
2
Finance research letters
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International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
International review of economics & finance : IREF
2
Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
2
Review of Derivatives Research
2
The European journal of finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Working paper series / University of Zurich, Department of Economics
2
2000 Conference, April 17-18 2000, Chicago, Illinois
1
Advances in Complex Systems (ACS)
1
Annals of finance
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Applied economics
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Asia-Pacific Financial Markets
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BILTOKI
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CREATES Research Papers
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Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance)
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Computational economics
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DFAEII Working Papers
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ECON - Working Papers
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Econometric Society 2004 North American Winter Meetings
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ECONIS (ZBW)
81
RePEc
44
EconStor
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1
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
2
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
3
Financial market disruption and investor awareness : the case of implied volatility skew
Siddiqi, Hammad
- In:
Quantitative finance and economics
6
(
2022
)
3
,
pp. 505-517
Persistent link: https://www.econbiz.de/10013499509
Saved in:
4
Pricing Autocallables under Local-Stochastic Volatility
Farkas, Walter
;
Ferrari, Francesco
;
Ulrych, Urban
-
2022
match the implied
volatility
smile
and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …
Persistent link: https://www.econbiz.de/10013491888
Saved in:
5
Smiles in delta
Mingone, Arianna
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1713-1728
Persistent link: https://www.econbiz.de/10014452438
Saved in:
6
Whose sentiment explains implied volatility change and smile?
Ryu, Doojin
;
Ryu, Doowon
;
Yang, Heejin
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473013
Saved in:
7
Carr and Wu's (2020) framework in the oil ETF option market
Jia, Xiaolan
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
Journal of commodity markets
31
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477744
Saved in:
8
Determinants of put-call disparity : KOSPI 200 index options
Kim, Sam
;
Lockwood, Jimmy
;
Lockwood, Larry Joseph
; …
- In:
The journal of behavioral finance : a publication of …
24
(
2023
)
3
,
pp. 303-314
Persistent link: https://www.econbiz.de/10014330974
Saved in:
9
Does smile help detect the UK's price leadership change after MiFID?
Adams, Michael B.
;
Chen, Jing
;
Guo, Qian
;
Li, Xiaoxi
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 756-769
Persistent link: https://www.econbiz.de/10014364155
Saved in:
10
Probabilistic interpretation of Black implied volatility
Carr, Peter
;
Wu, Liuren
;
Zhang, Yuzhao
- In:
Options - 45 years since the publication of the …
,
(pp. 29-46)
.
2023
Persistent link: https://www.econbiz.de/10014366585
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