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111
Collateral Smile
Leippold, Markus
;
Su, Lujing
-
2011
prices, which translates into skew and smile patterns for implied
volatility
curves even under constant volatilities … the market. collateral requirements, funding costs,
volatility
smile, option pricing …
Persistent link: https://www.econbiz.de/10009375107
Saved in:
112
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca
;
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
-
2011
dramatically and permanently changed the shape of the implied
volatility
curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied
volatility
'smirk' for S&P 500 options after the 1987 crash. This … integrated. --
Volatility
Smile ;
Volatility
Smirk ; Implied
Volatility
; Option Pricing ; Portfolio Insurance ; Market Risk …
Persistent link: https://www.econbiz.de/10009381331
Saved in:
113
Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de
;
Noss, Joseph
-
2012
Persistent link: https://www.econbiz.de/10009559811
Saved in:
114
Discrete
volatility
calibration for callable swaps : a model comparison
Corelli, Angelo
- In:
International journal of financial markets and derivatives
2
(
2011
)
4
,
pp. 258-264
Persistent link: https://www.econbiz.de/10009528842
Saved in:
115
A jump diffusion model for VIX
volatility
options and futures
Psychoyios, Dimitris
;
Dotsis, George
;
Markellos, Raphaēl N.
- In:
Review of quantitative finance and accounting
35
(
2010
)
3
,
pp. 245-269
Persistent link: https://www.econbiz.de/10009260276
Saved in:
116
The determinants of exchange settlement practices and the implication of
volatility
smile : evidence from the Taiwan Futures Exchange
Szu, Wen-ming
;
Wang, Ming-chun
;
Yang, Wan-ru
- In:
International review of economics & finance : IREF
20
(
2011
)
4
,
pp. 826-838
Persistent link: https://www.econbiz.de/10009303803
Saved in:
117
Do liquidity and sampling methods matter in constructing
volatility
indices? : empirical evidence from Taiwan
Tzang, Shyh-weir
;
Hung, Chih-hsing
;
Wang, Chou-wen
; …
- In:
International review of economics & finance : IREF
20
(
2011
)
2
,
pp. 312-324
Persistent link: https://www.econbiz.de/10009304121
Saved in:
118
Options for volatile markets : managing
volatility
and protecting against catastrophic risk
Lehman, Richard
;
McMillan, Lawrence G.
-
2011
-
2. ed.
Traditional thinking about investment has been thrown on its head in the wake of the financial crisis. Many investors no longer accept the idea that diversification reduces risk and the stock market provides the best long-term returns. With global markets increasingly interlinked, markets tend...
Persistent link: https://www.econbiz.de/10009311854
Saved in:
119
Implied
volatility
spreads and expected market returns
Atilgan, Yigit
;
Bali, Turan G.
;
Demirtas, K. Ozgur
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 87-101
Persistent link: https://www.econbiz.de/10011389785
Saved in:
120
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael
;
Fadugba, Sunday Emmanuel
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
Saved in:
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