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  • Search: subject:"volatility smile"
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Year of publication
Subject
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Volatility 85 Volatilität 85 Optionspreistheorie 79 Option pricing theory 75 volatility smile 70 Volatility smile 54 Optionsgeschäft 38 Option trading 37 Stochastischer Prozess 30 Stochastic process 29 Black-Scholes model 23 Black-Scholes-Modell 23 Volatility Smile 19 Estimation 16 Option pricing 16 Schätzung 16 Implied volatility 15 Derivat 11 Derivative 11 Implied Volatility 11 Index-Futures 11 Options 11 Statistical distribution 11 Statistische Verteilung 11 Stochastic volatility 11 option pricing 11 Index futures 10 Theorie 10 Wechselkurs 10 options 10 Exchange rate 9 Arbitrage 8 implied volatility 8 CAPM 7 Currency option 7 Devisenoption 7 GARCH model 7 Implied volatility smile 7 Risiko 7 Risk 7
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Online availability
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Undetermined 83 Free 68
Type of publication
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Article 114 Book / Working Paper 69
Type of publication (narrower categories)
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Article in journal 70 Aufsatz in Zeitschrift 70 Working Paper 25 Arbeitspapier 11 Graue Literatur 11 Non-commercial literature 11 Article 3 Aufsatz im Buch 2 Book section 2 research-article 2 Congress Report 1
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Language
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English 120 Undetermined 63
Author
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Mizrach, Bruce 7 Siddiqi, Hammad 6 Aboura, Sofiane 5 Fostel, Ana 5 García-Machado, Juan J. 5 Geanakoplos, John 5 Jackwerth, Jens Carsten 5 Janssen, Alexandra 5 Jaskowski, Marcin 5 McAleer, Michael 5 Perrakis, Stylianos 5 Rybczyński, Jarosław 4 Agarwalla, Sobhesh Kumar 3 Benzoni, Luca 3 Bianchi, Michele Leonardo 3 Boenkost, Wolfram 3 Branger, Nicole 3 Chourdakis, Kyriakos 3 Constantinides, George M. 3 Gatheral, Jim 3 Hakala, Jürgen 3 Lin, Shih-kuei 3 Piccirilli, Marco 3 Pierdzioch, Christian 3 Schlag, Christian 3 Schmeck, Maren Diane 3 Schmidt, Wolfgang M. 3 Studer-Suter, Rahel 3 Vargiolu, Tiziano 3 Varma, Jayanth Rama 3 Wystup, Uwe 3 Albert, Pascal 2 Andersen, Leif 2 Bandi, Chaithanya 2 Bertsimas, Dimitris 2 Brorsen, B. Wade 2 Chang, Charles 2 Chen, Jing 2 Chen, Ren-Raw 2 Collin-Dufresne, Pierre 2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 Department of Economics, Rutgers University-New Brunswick 4 Cowles Foundation for Research in Economics, Yale University 3 Université Paris-Dauphine (Paris IX) 3 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Frankfurt School of Finance and Management 2 School of Economics and Finance, Queen Mary 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 EconWPA 1 Econometric Society 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 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 NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 1 Regional and International Economic Development Group, Management School 1 School of Economics and Management, University of Aarhus 1 Tinbergen Instituut 1 Université Paris-Dauphine 1
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Published in...
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MPRA Paper 8 Working Paper 6 Journal of banking & finance 5 Review of quantitative finance and accounting 5 CPQF Working Paper Series 4 CoFE Discussion Paper 4 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 4 International journal of theoretical and applied finance 4 Quantitative Finance 4 Review of derivatives research 4 The journal of futures markets 4 Cowles Foundation Discussion Papers 3 Economics Papers from University Paris Dauphine 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 Review of Quantitative Finance and Accounting 3 Applied Mathematical Finance 2 Asia-Pacific Financial Markets 2 Economic modelling 2 Finance and Stochastics 2 Finance research letters 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 Investigaciones europeas de Dirección y Economía de la Empresa : IEDEE 2 Journal of Banking & Finance 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 Quantitative finance 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 Papers / School of Economics and Finance, Queen Mary 2 Working paper series / Centre for Practical Quantitative Finance 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 1 Annals of finance 1 Applied economics 1 Australian Journal of Management 1
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Source
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ECONIS (ZBW) 83 RePEc 79 EconStor 17 BASE 2 Other ZBW resources 2
Showing 31 - 40 of 183
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Effect of liquidity on the implied volatility surface in interest rate options markets
Kim, Kwanho - In: Global Business & Finance Review (GBFR) 22 (2017) 3, pp. 45-60
Persistent link: https://www.econbiz.de/10012286633
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Level and slope of volatility smiles in Long-Run Risk Models
Branger, Nicole; Rodrigues, Paulo; Schlag, Christian - 2017
the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options. …
Persistent link: https://www.econbiz.de/10011750074
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The Swiss franc's honeymoon
Janssen, Alexandra; Studer, Rahel - 2017 - Revised version, January 2017
Starting from the stylized fact that the Swiss franc is a safe haven currency, this paper focuses on the determinants of the Swiss franc during the lower bound regime from September 2011 to January 2015. We describe the Swiss franc as a function of global market risk fundamentals and find that...
Persistent link: https://www.econbiz.de/10011590470
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Cover Image
Effect of liquidity on the implied volatility surface in interest rate options markets
Kim, Kwanho - In: Global business and finance review 22 (2017) 3, pp. 45-60
Persistent link: https://www.econbiz.de/10011849353
Saved in:
Cover Image
Level and slope of volatility smiles in Long-Run Risk Models
Branger, Nicole; Rodrigues, Paulo Jorge Maurício; … - 2017
the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options. …
Persistent link: https://www.econbiz.de/10011747186
Saved in:
Cover Image
Implied risk aversion and pricing kernel in the FTSE 100 index
Liao, Wen Ju; Sung, Hao-Chang - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012667184
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Stock index options pricing under jump patterns driven by market states
Lin, Chao-Yang; Liu, Huimei; Lee, Jia-Ching; Lin, Shih-kuei - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 4, pp. 840-859
Persistent link: https://www.econbiz.de/10012211508
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Do it with a smile : forecasting volatility with currency options
Reus, Lorenzo; Carrasco, José A.; Pincheira, Pablo - In: Finance research letters 34 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012436844
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Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011984997
Saved in:
Cover Image
Three-point volatility smile classification : evidence from the Warsow Stock Exchange during volatile summer 2011
García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25
investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on …
Persistent link: https://www.econbiz.de/10011958447
Saved in:
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