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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
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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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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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Analytic formula for option margin with liquidity costs under dynamic delta hedging
Lee, Kyungsub; Seo, Byoung Ki - In: Applied economics 53 (2021) 29, pp. 3391-3407
Persistent link: https://www.econbiz.de/10012589463
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Insurer acquisition in a narrow-synergy structure and policyholder protection under capital regulation
Lin, Jyh-horng; Chen, Shi; Huang, Fu-Wei - In: Applied economics 53 (2021) 32, pp. 3679-3693
Persistent link: https://www.econbiz.de/10012589532
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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
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The Bitcoin options market : a first look at pricing and risk
Jalan, Akanksha; Matkovskyy, Roman; Aziz, Saqib - In: Applied economics 53 (2021) 17, pp. 2026-2041
Persistent link: https://www.econbiz.de/10012500934
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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