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~subject:"Option trading"
~subject:"stochastic volatility"
~type_genre:"Article in journal"
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Search: subject:"Volatility smile"
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Option trading
stochastic volatility
Volatility
70
Volatilität
70
Option pricing theory
65
Optionspreistheorie
65
Optionsgeschäft
34
Volatility smile
33
Stochastic process
26
Stochastischer Prozess
26
Black-Scholes model
21
Black-Scholes-Modell
21
volatility smile
21
Estimation
12
Schätzung
11
Derivat
10
Derivative
10
Implied volatility
10
Statistical distribution
10
Statistische Verteilung
10
Index futures
9
Index-Futures
9
Option pricing
9
CAPM
6
Capital income
6
Experiment
6
Kapitaleinkommen
6
Risiko
6
Risk
6
Arbitrage
5
Börsenkurs
5
Exchange rate
5
Implied volatility smile
5
Options
5
Share price
5
Wechselkurs
5
Currency option
4
Devisenoption
4
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implied volatility
4
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35
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García-Machado, Juan J.
3
Rybczyński, Jarosław
3
Agarwalla, Sobhesh Kumar
2
Varma, Jayanth Rama
2
Virmani, Vineet
2
Aboura, Sofiane
1
Albert, Pascal
1
Bandi, Chaithanya
1
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1
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1
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1
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1
Chen, Jing
1
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1
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1
Dixit, Alok
1
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1
Fuh, Cheng-der
1
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1
Gao, Bin
1
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1
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1
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1
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1
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1
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1
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Lin, Shih-kuei
1
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1
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1
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1
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1
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Review of derivatives research
4
The journal of futures markets
3
Economic modelling
2
Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE
2
Review of quantitative finance and accounting
2
The European journal of finance
2
Applied economics
1
Economics letters
1
Energy economics
1
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1
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1
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1
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1
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1
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Quantitative finance and economics
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
35
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35
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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
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:
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
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:
7
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:
8
Oil futures volatility smiles in 2020 : why the Bachelier smile is flatter
Galeeva, Roza
;
Ronn, Ehud I.
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 173-187
Persistent link: https://www.econbiz.de/10013457610
Saved in:
9
Does the world smile together? : a network analysis of global index option implied volatilities
Chen, Jing
;
Han, Qian
;
Ryu, Doojin
;
Tang, Jing
- In:
Journal of international financial markets, …
77
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013357053
Saved in:
10
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
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