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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, Arianna - 2022
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...
Persistent link: https://www.econbiz.de/10013292792
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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
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Empirical performance of alternative pricing models of currency options
Sarwar, Ghulam; Krehbiel, Timothy L. - In: The journal of futures markets 20 (2000) 3, pp. 265-291
Persistent link: https://www.econbiz.de/10001485242
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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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Vol, skew, and smile trading
Al-Jaaf, Aşty; Carr, Peter - In: The journal of derivatives : JOD 31 (2023) 1, pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
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What determines volatility smile in China?
Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
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Global convertible investing : the Gabelli way
Woodson, Hart - 2002
Persistent link: https://www.econbiz.de/10001664528
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Modeling volatility dynamics
Diebold, Francis X.; López, José A. - 1995
Persistent link: https://www.econbiz.de/10000945662
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000980737
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425