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Deep local volatility
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Share price
Experiment
44,046
Volatility
40,965
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40,697
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26,530
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26,048
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14,815
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14,356
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10,271
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9,636
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6,935
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5,165
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4,399
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4,115
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3,972
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3,734
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3,730
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3,702
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3,636
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3,571
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Gupta, Rangan
103
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57
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54
Ma, Feng
39
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37
Bouri, Elie
36
Bloom, Nicholas
33
Ryu, Doojin
33
Spagnolo, Nicola
32
Hautsch, Nikolaus
30
Lux, Thomas
29
Pierdzioch, Christian
29
Todorov, Viktor
27
Wohar, Mark E.
25
Corbet, Shaen
24
Härdle, Wolfgang
24
Lettau, Martin
24
Salisu, Afees A.
24
Bansal, Ravi
23
Andersen, Torben
22
Bekaert, Geert
22
Demirer, Rıza
22
Molnár, Peter
21
Ang, Andrew
20
Chiang, Thomas C.
20
Christiansen, Charlotte
20
Davis, Steven J.
20
Gil-Alaña, Luis A.
20
Kang, Wensheng
20
Noussair, Charles
20
Stulz, René M.
20
Hale, Galina
19
Jiang, George J.
19
Narayan, Paresh Kumar
19
Ratti, Ronald A.
19
Tauchen, George Eugene
19
Tong, Hui
19
Balcilar, Mehmet
18
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18
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18
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3
Institut für Weltwirtschaft
3
Kansantaloustieteen Laitos <Tampere>
3
Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
3
University of Canterbury / Dept. of Economics and Finance
3
Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung
2
Center for Economic Research <Tilburg>
2
Centre for Economic Policy Research
2
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
2
Christian-Albrechts-Universität zu Kiel
2
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2
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2
Federal Reserve Bank of New York
2
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2
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2
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2
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2
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2
Internationaler Währungsfonds / Research Department
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2
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2
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2
Springer Fachmedien Wiesbaden
2
American Finance Association
1
Australian National University / Faculty of Economics and Commerce
1
Brown University / Department of Economics
1
Capital Markets Conference <UTI Institute of Capital Markets, Navi Mumbai> <1, 1997, Navi Muṃbaī>
1
Centre for Analytical Finance <Århus>
1
Centre for Growth and Business Cycle Research <Manchester>
1
Chambre de commerce et d'industrie de Paris
1
Conference on Financial Stability <1993, Sydney>
1
Deutsche Forschungsgemeinschaft
1
ESCP-EAP European School of Management
1
European University Institute / Department of Economics
1
Federal Reserve Bank of San Francisco
1
Financial Options Research Centre
1
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Finance research letters
224
International review of financial analysis
142
Energy economics
137
NBER working paper series
131
Working paper / National Bureau of Economic Research, Inc.
118
International review of economics & finance : IREF
117
The North American journal of economics and finance : a journal of financial economics studies
116
Journal of banking & finance
107
Applied economics
102
Research in international business and finance
95
Economic modelling
94
Journal of empirical finance
92
NBER Working Paper
90
Applied economics letters
89
Journal of international financial markets, institutions & money
83
The journal of futures markets
78
Journal of financial economics
75
Journal of risk and financial management : JRFM
74
Pacific-Basin finance journal
71
Journal of econometrics
68
Applied financial economics
65
International Journal of Energy Economics and Policy : IJEEP
61
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
61
The European journal of finance
56
Working paper
53
The journal of finance : the journal of the American Finance Association
50
Economics letters
49
Finance India : the quarterly journal of Indian Institute of Finance
49
Discussion paper / Centre for Economic Policy Research
48
Research paper series / Swiss Finance Institute
46
CESifo working papers
45
The review of financial studies
45
Cogent economics & finance
44
Journal of economic behavior & organization : JEBO
44
Journal of financial markets
43
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
42
Journal of economic dynamics & control
42
International journal of finance & economics : IJFE
41
Quantitative finance
40
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
39
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ECONIS (ZBW)
10,124
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1
The continuous limit of weak GARCH
Alexander, Carol
;
Lazar, Emese
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
Saved in:
2
Volatility
and the pricing kernel
Schreindorfer, David
;
Sichert, Tobias
-
2022
-
This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
Saved in:
3
The information content of alternate implied
volatility
models : case of Indian markets
Kumar, A. Vinay
;
Jaiswal, Shikha
- In:
Journal of emerging market finance
12
(
2013
)
3
,
pp. 293-321
Persistent link: https://www.econbiz.de/10010360587
Saved in:
4
The information content of option-based forecasts of
volatility
: evidence from the Italian stock market
Muzzioli, Silvia
- In:
The quarterly journal of finance
3
(
2013
)
1
,
pp. 13500051-135000546
Persistent link: https://www.econbiz.de/10010198265
Saved in:
5
Options on troubled stock
Câmara, António
;
Popova, Ivilina
;
Simkins, Betty J.
- In:
The journal of futures markets
34
(
2014
)
7
,
pp. 637-657
Persistent link: https://www.econbiz.de/10010507943
Saved in:
6
Zum Hedging europäischer Aktienoptionen bei stochastischen Volatilitäten
Holtrode, Rainer
-
2000
Persistent link: https://www.econbiz.de/10001498200
Saved in:
7
Smiles, skews, implied distributions and market expectations from option prices : the case of American equity options
Allen, Aidan
;
Alles, Lakshman
-
2000
Persistent link: https://www.econbiz.de/10001509334
Saved in:
8
Option pricing using subordinated and infinitely divisible return processes : an empirical analysis of the German DAX-index options market
Rieken, Sascha
-
1999
-
1. Aufl.
Persistent link: https://www.econbiz.de/10001440110
Saved in:
9
Optionspreise und implizite Kursprozesse
Wallmeier, Martin
- In:
Finanzwirtschaft, Kapitalmarkt und Banken : Festschrift …
,
(pp. 331-346)
.
2003
Persistent link: https://www.econbiz.de/10001736363
Saved in:
10
Cash mergers and the
volatility
smile
Bester, C. Alan
;
Martinez, Victor H.
;
Rosu, Ioanid
-
2018
variables used in the merger literature. As predicted by the model, a graph of the target firm's implied
volatility
against the …
Persistent link: https://www.econbiz.de/10011951308
Saved in:
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