Search Results - subject:"SMILE"

Ad hoc black and scholes procedures with the time-to-maturity

Byun, Suk Joon; Kim, Sol; Rhee, Dong Woo - In: Review of Pacific Basin financial markets and policies 21 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011809745

On VIX futures in the rough Bergomi model

Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10011905829

Dividend derivatives

Tunaru, Radu - In: Quantitative finance 18 (2018) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10011905830

Implied volatility surfaces during the period of global financial crisis

Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50

Persistent link: https://www.econbiz.de/10011922944

The role of language, appearance, and smile on perceptions of authenticity versus rapport

Baker, Melissa A.; Kim, Kawon Kathy - In: International journal of hospitality management 74 (2018), pp. 171-179

Persistent link: https://www.econbiz.de/10011924646

A nonparametric local volatility model for swaptions smile

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of computational finance 21 (2017/2018) 5, pp. 35-62

Persistent link: https://www.econbiz.de/10011860899

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

The smile curve at the firm level : where value is added along supply chains

Rungi, Armando; Del Prete, Davide - In: Economics letters 164 (2018), pp. 38-42

Persistent link: https://www.econbiz.de/10011939925

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

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...

Persistent link: https://www.econbiz.de/10010326423

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