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Testing the Implied Volatility Smile of a Lognormal Distribution on a 3 – Month Danske Bank Call Option Contract Using the Option Delta

Guirguis, Michel - 2019

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract … using the option delta. There is significant time variation in the implied volatility smile and the traditional Black … adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the 3– month Danske …

Persistent link: https://www.econbiz.de/10012890742

Nonparametric estimates of option prices via Hermite basis functions

Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522

Persistent link: https://www.econbiz.de/10014448291

Option smiling when investors' estimates of asset volatility disagree

Lin, Chien-chih - In: Applied economics 46 (2014) 31/33, pp. 3812-3827

Persistent link: https://www.econbiz.de/10010419898

A general closed form option pricing formula

Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - 2016 - This version: 10 March 2016

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

Persistent link: https://www.econbiz.de/10011506359

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Conjoint analysis of option and volatility models : empirical evidence from recent financial upheavals in India

Singh, Vipul Kumar - In: Journal of emerging market finance 14 (2015) 3, pp. 258-289

Persistent link: https://www.econbiz.de/10011430608

An extension of the chaos expansion approximation for the pricing of exotic basket options

Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139

Persistent link: https://www.econbiz.de/10010352010

A general closed-form spread option pricing formula

Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906

Persistent link: https://www.econbiz.de/10010342187

A sharp approximation for ATM-forward option prices and implied volatilites

Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10011532749

On the importance of the traders' rules for pricing options : evidence from intraday data

Kim, Sol; Lee, Changjun - In: Asia-Pacific journal of financial studies 43 (2014) 6, pp. 873-894

Persistent link: https://www.econbiz.de/10010476863

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