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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
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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Option pricing under habit formation and event risks
Du, Du - 2007
Persistent link: https://www.econbiz.de/10003617810
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An empirical analysis of the Nikkei 225 put options using realized GARCH models
Takeuchi-Nogimori, Asuka - 2012
Persistent link: https://www.econbiz.de/10009618595
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Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
Corrado, Charles Joseph - In: The European journal of finance 3 (1997) 1, pp. 73-85
Persistent link: https://www.econbiz.de/10001219143
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Asset pricing in the early twentieth century
Moore, Lyndon C. - 2006
Persistent link: https://www.econbiz.de/10003908181
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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
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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
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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
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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