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Year of publication
Subject
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Volatilität 128 Volatility 127 Optionspreistheorie 124 Option pricing theory 118 volatility smile 70 Volatility smile 54 Stochastischer Prozess 53 Optionsgeschäft 52 Option trading 51 Stochastic process 51 Black-Scholes-Modell 42 Black-Scholes model 39 Schätzung 36 Estimation 35 Theorie 27 Implied volatility 26 smile 26 stochastic volatility 23 Derivat 22 Derivative 22 Option pricing 21 smile curve 21 Volatility Smile 19 Theory 18 Index-Futures 17 option pricing 17 implied volatility 16 Betriebliche Wertschöpfung 15 Index futures 15 Smile 15 Stochastic volatility 15 Value added 15 Value creation 15 Wertschöpfung 15 Options 14 Statistical distribution 14 Statistische Verteilung 14 options 14 Globalisierung 13 Globalization 13
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Online availability
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Undetermined 148 Free 138
Type of publication
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Article 209 Book / Working Paper 137
Type of publication (narrower categories)
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Article in journal 135 Aufsatz in Zeitschrift 135 Working Paper 45 Graue Literatur 25 Non-commercial literature 25 Arbeitspapier 20 Article 4 research-article 4 Aufsatz im Buch 3 Book section 3 Hochschulschrift 3 Research Report 3 Thesis 2 Collection of articles of several authors 1 Conference paper 1 Congress Report 1 Konferenzbeitrag 1 Sammelwerk 1
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Language
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English 230 Undetermined 110 German 6 French 1
Author
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Stöllinger, Roman 8 Aboura, Sofiane 7 Fengler, Matthias R. 7 Mizrach, Bruce 7 Härdle, Wolfgang 6 Siddiqi, Hammad 6 Wystup, Uwe 6 Fostel, Ana 5 García-Machado, Juan J. 5 Geanakoplos, John 5 Härdle, Wolfgang Karl 5 Jackwerth, Jens Carsten 5 Janssen, Alexandra 5 Jaskowski, Marcin 5 McAleer, Michael 5 Okhrin, Ostap 5 Perrakis, Stylianos 5 Kordalska, Aleksandra 4 Lewis, Alan L. 4 Mammen, Enno 4 Martini, Claude 4 Meng, Bo 4 Olczyk, Magdalena 4 Rybczyński, Jarosław 4 Wallmeier, Martin 4 Ye, Ming 4 Agarwalla, Sobhesh Kumar 3 Benzoni, Luca 3 Bianchi, Michele Leonardo 3 Boenkost, Wolfram 3 Boyarchenko, Nina 3 Branger, Nicole 3 Chourdakis, Kyriakos 3 Constantinides, George M. 3 Fuster, Andreas 3 GARCIA, René 3 Garcia, René 3 Gatheral, Jim 3 Gruber, Peter H. 3 Guyon, Julien 3
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 12 Université Paris-Dauphine (Paris IX) 5 Department of Economics, Rutgers University-New Brunswick 4 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 3 Cowles Foundation for Research in Economics, Yale University 3 Département de Sciences Économiques, Université de Montréal 3 EconWPA 3 Frankfurt School of Finance and Management 3 HAL 3 School of Economics and Management, University of Aarhus 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 3 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Henley Business School, University of Reading 2 School of Economics and Finance, Queen Mary 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 2 BANCO DE LA REPÚBLICA 1 Banca d'Italia 1 Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales 1 Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales 1 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Econometric Society 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät, Université de Fribourg - Universität Freiburg 1 Federal Reserve Bank of New York 1 Finance Press 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1 Institut für Weltwirtschaft (IfW) 1 Institute for International Economic Policy (IIEP), Elliott School of International Affairs 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 1 Regional and International Economic Development Group, Management School 1 Society for Computational Economics - SCE 1 Tinbergen Instituut 1 University of Bonn, Germany 1 Université Paris-Dauphine 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1
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Published in...
All
MPRA Paper 12 International journal of theoretical and applied finance 7 CPQF Working Paper Series 6 Journal of banking & finance 6 Quantitative finance 6 Review of derivatives research 6 Review of quantitative finance and accounting 6 Working Paper 6 Economics Papers from University Paris Dauphine 5 International journal of financial engineering 5 Quantitative Finance 5 Review of Derivatives Research 5 The journal of futures markets 5 Applied Mathematical Finance 4 CoFE Discussion Paper 4 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 4 Finance and Stochastics 4 IDE discussion papers 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 International review of economics & finance : IREF 4 Option Valuation under Stochastic Volatility 4 Review of Quantitative Finance and Accounting 4 Structural change and economic dynamics : SC+ED 4 Applied economics 3 CIRANO Working Papers 3 CREATES Research Papers 3 Cahiers de recherche 3 Cowles Foundation Discussion Papers 3 Finance 3 Journal of Banking & Finance 3 Management science : journal of the Institute for Operations Research and the Management Sciences 3 SFB 373 Discussion Paper 3 SFB 373 Discussion Papers 3 SFB 649 Discussion Paper 3 Working paper series / Centre for Practical Quantitative Finance 3 Asia-Pacific Financial Markets 2 Asian Agricultural Research 2 Betriebswirtschaftliche Studien 2 Economic modelling 2 Economics letters 2
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Source
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ECONIS (ZBW) 167 RePEc 141 EconStor 32 Other ZBW resources 4 BASE 2
Showing 171 - 180 of 346
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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
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R-2GAM stochastic volatility model : flexibility and calibration
Lee, Cheng F.; Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 45 (2015) 3, pp. 463-483
Persistent link: https://www.econbiz.de/10011531991
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What makes volatility smile? : an empirical investigation of implied volatility functions in Indian market
Inder, Shivani; Pasricha, J. S. - In: Business analyst : a refereed journal of Shri Ram … 36 (2015) 1, pp. 127-145
Persistent link: https://www.econbiz.de/10011533053
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Collateral smile
Leippold, Markus; Su, Lujing - In: Journal of banking & finance 58 (2015), pp. 15-28
Persistent link: https://www.econbiz.de/10011543849
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Spreading joy : examining the effects of smiling models on consumer joy and attitudes
Berg, Hanna; Söderlund, Magnus; Lindström, Annika - In: The journal of consumer marketing 32 (2015) 6, pp. 459-469
Persistent link: https://www.econbiz.de/10011485848
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The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs
Feng, Shu; Zhang, Yi; Friesen, Geoffrey C. - In: International review of financial analysis 41 (2015), pp. 62-73
Persistent link: https://www.econbiz.de/10011508586
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Survey sentiment and interest rate option smile
Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: International review of economics & finance : IREF 37 (2015), pp. 125-137
Persistent link: https://www.econbiz.de/10011538263
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Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent; Dao, Tung-Lam; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
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Implied risk neutral densities from option prices : hypergeometric, spline, lognormal, and edgeworth functions
Santos, André; Guerra, João - In: The journal of futures markets 35 (2015) 7, pp. 655-678
Persistent link: https://www.econbiz.de/10011405462
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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