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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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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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Calibration of implied volatility for the exchange rate for the Chinese Yuan from its derivatives
Liang, Jin; Gao, Y. - In: Economic modelling 29 (2012) 4, pp. 1278-1285
Persistent link: https://www.econbiz.de/10009667379
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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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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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Rare Macro Disasters in Credit and Option Markets
Du, Du - 2012
volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … spreads. The model matches the widespread volatility smirk in index options as well as the first two moments of government …
Persistent link: https://www.econbiz.de/10013109094
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Using trading platforms for simulated trading in the financial derivatives course
Burney, Robert - In: Journal of the Academy of Business Education : JABE 19 (2018), pp. 70-75
Persistent link: https://www.econbiz.de/10011876993
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The impacts of overseas market shocks on the CDS-option basis
Park, Yuen Jung; Kutan, Ali Mustafa; Ryu, Doojin - In: The North American journal of economics and finance : a … 47 (2019), pp. 622-636
Persistent link: https://www.econbiz.de/10012120141
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The volatility risk premium in the oil market
Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929