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The pricing of options on an interval binomial tree. An application to the DAX-index option market

Muzzioli, S.; Torricelli, C. - In: European Journal of Operational Research 163 (2005) 1, pp. 192-200

Persistent link: https://www.econbiz.de/10005253981

On the no-arbitrage condition in option implied trees

Moriggia, V.; Muzzioli, S.; Torricelli, C. - In: European Journal of Operational Research 193 (2009) 1, pp. 212-221

The aim of this paper is to discuss the no-arbitrage condition in option implied trees based on forward induction and to propose a no-arbitrage test that rules out the negative probabilities problem and hence enhances the pricing performance. The no-arbitrage condition takes into account two...

Persistent link: https://www.econbiz.de/10005287449

Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

The optimal corridor for implied volatility : from periods of calm to turmoil

Muzzioli, Silvia - In: Journal of economics & business 81 (2015), pp. 77-94

Persistent link: https://www.econbiz.de/10011476102

The skewness index : uncovering the relationship with volatility and market returns

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Applied economics 53 (2021) 31, pp. 3619-3635

Persistent link: https://www.econbiz.de/10012589497

Designing volatility indices for Austria, Finland and Spain

Campisi, Giovanni; Muzzioli, Silvia - In: Financial markets and portfolio management 35 (2021) 3, pp. 369-455

Persistent link: https://www.econbiz.de/10012616167

The power of deterministic option-implied trees in pricing European options

Elyasiani, Elyas; Muzzioli, Silvia - In: Applied economics 54 (2022) 22, pp. 2596-2609

Persistent link: https://www.econbiz.de/10013171107

Uncertainty about fundamental, pessimistic and overconfident traders : a piecewise-linear maps approach

Campisi, Giovanni; Muzzioli, Silvia; Tramontana, Fabio - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 707-726

Persistent link: https://www.econbiz.de/10012794986

Option implied moments obtained through fuzzy regression

Muzzioli, Silvia; Gambarelli, Luca; De Baets, Bernard - In: Fuzzy optimization and decision making : a journal of … 19 (2020) 2, pp. 211-238

Persistent link: https://www.econbiz.de/10012225083

The use of option prices to assess the skewness risk premium

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Applied economics 52 (2020) 55, pp. 6057-6074

Persistent link: https://www.econbiz.de/10012308429