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~subject:"Behavioural finance"
~subject:"Estimation"
~subject:"Welt"
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THREE-POINT VOLATILITY SMILE C...
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1
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:
2
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:
3
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:
4
What makes volatility smile? : an empirical investigation of implied volatility functions in Indian market
Inder, Shivani
;
Pasricha, J. S.
- In:
Business analyst : a refereed journal of Shri Ram …
36
(
2015
)
1
,
pp. 127-145
Persistent link: https://www.econbiz.de/10011533053
Saved in:
5
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
Saved in:
6
What determines volatility smile in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
7
Explaining time-varying risk of electricity forwards : trading activity and news announcements
Schulz, Frowin C.
-
2010
-
2nd version: March 25, 2011
We elaborate economic explanations for the time-varying risk of month, quarter and year base load electricity forward contracts traded on the Nord Pool Energy Exchange from January 2006 to March 2010. Daily risk quantities are generated by decomposing realized volatility in its continuous and...
Persistent link: https://www.econbiz.de/10008989697
Saved in:
8
Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias
;
Entrop, Oliver
;
Wilkens, Marco
-
2014
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
Saved in:
9
Exchange rate risk premium : an analysis of its determinants for the Mexican Peso-USD
Benavides, Guillermo
-
2016
The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several...
Persistent link: https://www.econbiz.de/10011496736
Saved in:
10
The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
-
2015
-
This version: September 8, 2015
traded in SPX option markets. The price of the smile reflects two persistent volatility and
skewness
risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
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