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Volatilities implied by price changes in the S&P 500 options and futures contracts
Hilliard, Jitka; Li, Wei - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 599-626
Persistent link: https://www.econbiz.de/10010431376
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Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data
Ielpo, Florian; Sévi, Benoît - 2014
Persistent link: https://www.econbiz.de/10010432122
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A study on the efficiency of option markets : short-term vesus long-term : an implied volatility approach
Wang, Guan Jun; Islam, Mazhar M.; Bonollo, Michele - In: Global review of business and economic research 10 (2014) 1, pp. 111-119
Persistent link: https://www.econbiz.de/10010438435
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Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
Forde, Martin - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
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Implied volatility index of KOSPI200 : information contents and properties
Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39
Persistent link: https://www.econbiz.de/10009682531
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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10011447894
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37
Persistent link: https://www.econbiz.de/10011477269
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Left-wing asymptotics of the implied volatility in the presence of atoms
Gulisashvili, Archil - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10011403232
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Short-time implied volatility in exponential Lévy models
Ekström, Erik; Lu, Bing - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10011403775