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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

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

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

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

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

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

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

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

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

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