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Uncovering the distribution of option implied risk aversion

Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104

Persistent link: https://www.econbiz.de/10012116675

On volatility smile and an investment strategy with out-of-the-money calls

Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125

Persistent link: https://www.econbiz.de/10011485897

The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10012549093

Asymmetries in financial returns

Madan, Dilip B.; Wang, King - In: International journal of financial engineering 4 (2017) 4, pp. 1-37

Persistent link: https://www.econbiz.de/10011807103

On regime-switching European option pricing

Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

valuation and the model parameter estimates is performed by use of the maximum likelihood estimation. The model implementation … volatility process spends longer time in regime 2 than it stays in regime 1. The predicted call option prices from both models …

Persistent link: https://www.econbiz.de/10014500787

Modeling Conditional Factor Risk Premia Implied by Index Option Returns

Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021

We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...

Persistent link: https://www.econbiz.de/10013213854