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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

Modelling option-implied return distributions: a generalized log-logistic approximation

Hallerbach, Winfried G. - In: Current topics in quantitative finance : with 23 tables, (pp. 80-92). 1999

Persistent link: https://www.econbiz.de/10001442926

(Un)Modelling the Volatility Surface : Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions

Flint, Emlyn James - 2016

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

Persistent link: https://www.econbiz.de/10012994178

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

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

Asset pricing in the early twentieth century

Moore, Lyndon C. - 2006

Persistent link: https://www.econbiz.de/10003908181

Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

Persistent link: https://www.econbiz.de/10011506352

Empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - In: Journal of financial economics 64 (2002) 3, pp. 341-372

Persistent link: https://www.econbiz.de/10001687813

The jump-diffusion process in Swiss stock returns and its influence on option valuation

Bruand, Martin - In: Finanzmarkt und Portfolio-Management 10 (1996) 1, pp. 75-98

Persistent link: https://www.econbiz.de/10001221522

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