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~subject:"Optionspreistheorie"
~subject:"Risiko"
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THREE-POINT VOLATILITY SMILE C...
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1
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
volatilities for
moneyness
points needed were calculated, then we construct 355 smile curves for calls and puts
options
to study … 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:
2
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
Persistent link: https://www.econbiz.de/10011592500
Saved in:
3
Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo
-
2015
precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money
options
. We use …
Persistent link: https://www.econbiz.de/10011506354
Saved in:
4
How Spanish
options
market smiles in summer : an empirical analysis for
options
on IBEX-35
García-Machado, Juan J.
;
Rybczyński, Jarosław
- In:
The European journal of finance
23
(
2017
)
1/3
,
pp. 153-169
Persistent link: https://www.econbiz.de/10011736237
Saved in:
5
Did option prices predict the ERM crises?
Mizrach, Bruce Marshall
-
1996
procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the
options
using Monte Carlo …
Persistent link: https://www.econbiz.de/10011577049
Saved in:
6
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca
;
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
-
2010
equity index
options
, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium … individual stock
options
, equity returns, and interest rates. …
Persistent link: https://www.econbiz.de/10010292171
Saved in:
7
Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk
(
contributor
);
Pešta, Michal
(
contributor
)
-
2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10003376011
Saved in:
8
Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
Hlávka, Zdeněk
;
Pešta, Michal
-
Sonderforschungsbereich Ökonomisches Risiko <Berlin>
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964
Saved in:
9
A Review on Implied Volatility Calculation
Orlando, Giuseppe
-
2017
This paper aims to summarizing the different approaches in determining the implied volatility for the
options
. This … value is of particular importance since it is the main component of the option's price and because, among traders,
options
…
Persistent link: https://www.econbiz.de/10012960021
Saved in:
10
An Alternative Approach to Fast Implied Volatility Calculation
Orlando, Giuseppe
-
2014
determine with speed (i.e. to converge within a few iterations) the value of the implied volatility for the
options
. This value …
Persistent link: https://www.econbiz.de/10013060651
Saved in:
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