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Mingone, Arianna - 2022

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 a global view on the surface. The alternative calibration …

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What determines volatility smile in China?

Li, Pengshi; Xian, Aichuan; Lin, Yan - In: Economic modelling 96 (2021), pp. 326-335

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Implied volatility surfaces during the period of global financial crisis

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Empirische Beiträge zur Optionsbewertung am Beispiel von Black und Scholes u.a.

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Global convertible investing : the Gabelli way

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Option pricing under habit formation and event risks

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Empirical performance of alternative pricing models of currency options

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Vol, skew, and smile trading

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Nonparametric modelling of financial time series

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