Narrow search
Showing 1 - 10 of 165
Cover Image
Knowledge mapping of studies on implied volatility in equity derivatives markets : a bibliometric approach
Sharma, Vijay Kumar; Bhatia, Satinder - In: International Journal of Financial Markets and … 9 (2023) 3, pp. 188-207
Persistent link: https://www.econbiz.de/10015064443
Cover Image
Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023
Persistent link: https://www.econbiz.de/10014366655
Cover Image
Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - In: Journal of banking & finance 46 (2014), pp. 326-342
Persistent link: https://www.econbiz.de/10010468417
Cover Image
Does model misspecification matter for hedging? : a computational finance experiment based approach
Sun, Youfa; Yuan, George; Guo, Shimin; Liu, Jianguo; … - In: International journal of financial engineering 2 (2015) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011403136
Cover Image
Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
Cover Image
Can we forecast the implied volatility surface dynamics of equity options? : predictability and economic value tests
Bernales, Alejandro; Guidolin, Massimo - 2012 - This version: October, 2012
Persistent link: https://www.econbiz.de/10011814410
Cover Image
Implied volatility surfaces during the period of global financial crisis
Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011922944
Cover Image
VIX computation based on affine stochastic volatility models in discrete time
Hitaj, A.; Mercuri, L.; Rroji, E. - In: Handbook of recent advances in commodity and financial …, (pp. 141-164). 2018
Persistent link: https://www.econbiz.de/10011898628
Cover Image
Modeling of implied volatility surfaces of nifty index options
Dash, Mihir - In: International journal of financial engineering 6 (2019) 3, pp. 1-11
Persistent link: https://www.econbiz.de/10012314517
Cover Image
The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios
Guidolin, Massimo; Wang, Kai - 2022
We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We explore whether the implied volatilities extracted...
Persistent link: https://www.econbiz.de/10014235957