Narrow search
Showing 1 - 10 of 5,716
Cover Image
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
Cover Image
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
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
Empirische Beiträge zur Optionsbewertung am Beispiel von Black und Scholes u.a.
Schroeder, Gerhard - In: Finanzierungen, (pp. 29-53). 1998
Persistent link: https://www.econbiz.de/10001426656
Cover Image
Global convertible investing : the Gabelli way
Woodson, Hart - 2002
Persistent link: https://www.econbiz.de/10001664528
Cover Image
Option pricing under habit formation and event risks
Du, Du - 2007
Persistent link: https://www.econbiz.de/10003617810
Cover Image
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
Cover Image
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
Cover Image
Financial market volatility
Funke, Norbert; Goldstein, Andrea - In: Intereconomics : review of European economic policy 31 (1996) 5, pp. 215-220
The volatility of financial markets has attracted a lot of attention in recent years. However, while particular … that markets have become more volatile, there appears to have been no systematic increase in volatility over the last 20 …
Persistent link: https://www.econbiz.de/10011549235
Cover Image
Trading mechanisms and trading preferences on a 24-hour futures market : a case study of the Floor
Chow, Edward H. - In: Journal of banking & finance 20 (1996) 10, pp. 1695-1713
Persistent link: https://www.econbiz.de/10001209654