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Uncovering the distribution of option implied risk aversion
Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
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An empirical test of market efficiency of Indian index options market using the Black-Scholes model and dynamic hedging strategy
Mohanti, Debaditya; Priyan, P. K. - In: Paradigm : the journal of Institute of Management Technology 18 (2014) 2, pp. 221-237
Persistent link: https://www.econbiz.de/10011760603
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Der Informationsgehalt von Optionspreisen
Wallmeier, Martin - 2003
Die Preise, zu denen Aktienindexoptionen an den internationalen Terminbörsen gehandelt werden, weichen in der Regel systematisch von den Implikationen des von Black, Scholes und Merton entwickelten Standartmodells der Optionsbewertung ab. Zur Erklärung dieses als "Smile-Effekt" bekannten...
Persistent link: https://www.econbiz.de/10013509175
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Der Informationsgehalt von Optionspreisen
Wallmeier, Martin - 2003
Persistent link: https://www.econbiz.de/10001747262
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Empirical analysis of GARCH and practitioner Black-Scholes model for pricing S&P CNX Nifty 50 index options
Singh, Vipul Kumar; Ahmad, Naseem; Pachori, Pushkar - In: Decision 38 (2011) 2, pp. 51-67
Persistent link: https://www.econbiz.de/10009716076
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Forecasting performance of volatility models for pricing S&P CNX Nifty index options via Black-Scholes model
Singh, Vipul Kumar; Ahmad, Naseem - In: The IUP journal of applied finance : IJAF 17 (2011) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10009270171
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Factors explaining movements in the implied volatility surface
Mixon, Scott - In: The journal of futures markets 22 (2002) 10, pp. 915-937
Persistent link: https://www.econbiz.de/10001696748
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Volatility cones and their sampling properties
Hodges, Stewart D.; Tompkins, Robert G. - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 27-42
Persistent link: https://www.econbiz.de/10001718685
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The economic significance of the forecast bias of S&P 100 index option implied volatility
Fleming, Jeff - In: Advances in futures and options research : a research annual 10 (1999), pp. 219-251
Persistent link: https://www.econbiz.de/10001434835
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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