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Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827
Persistent link: https://www.econbiz.de/10010419898
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Do Aussie markets smile? : implied volatility functions and determinants
Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163
Persistent link: https://www.econbiz.de/10011289355
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The implied volatility smirk in SPY options
Guo, Wei; Gehricke, Sebastian A.; Ruan, Xinfeng; Zhang, … - In: Applied economics 53 (2021) 23, pp. 2671-2692
Persistent link: https://www.econbiz.de/10012501393
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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
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Option implied beta and option return
Ze-To, Samuel Yau Man - In: Applied economics 50 (2018) 2, pp. 128-142
Persistent link: https://www.econbiz.de/10011845923
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The implied volatility smirk in the VXX options market
Gehricke, Sebastian A.; Zhang, Jin E. - In: Applied economics 52 (2020) 8, pp. 769-788
Persistent link: https://www.econbiz.de/10012197465
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Which volatility model for option valuation in China? : empirical evidence from SSE 50 ETF options
Huang, Zhuo; Tong, Chen; Wang, Tianyi - In: Applied economics 52 (2020) 17, pp. 1866-1880
Persistent link: https://www.econbiz.de/10012197620
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Risk aversion, fanning preference and volatility smirk on S&P 500 index options
Chen, Jian; Ma, Chenghu - In: Applied economics 48 (2016) 34/36, pp. 3277-3292
Persistent link: https://www.econbiz.de/10011617231
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Heterogeneous trading of option implied volatility
Li, Xiaoping; Zhou, Chunyang; Huang, Wei - In: Applied economics 55 (2023) 9, pp. 990-998
Persistent link: https://www.econbiz.de/10013498968
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The limitation of monotonicity property of option prices : an empirical evidence
Lin, Chuang Yuang; Chen, Dar-hsin; Tsai, Chin Yu - In: Applied economics 43 (2011) 22/24, pp. 3103-3113
Persistent link: https://www.econbiz.de/10009357414