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Forward-looking market risk premium

Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538

Persistent link: https://www.econbiz.de/10010258775

Crooked volatility smiles : evidence from leveraged and inverse ETF options

Deng, Geng; Dulaney, Tim; McCann, Craig; Yan, Mike - In: Journal of derivatives & hedge funds 19 (2013) 4, pp. 278-294

Persistent link: https://www.econbiz.de/10010259400

Modeling volatility smile : empirical evidence from India

Singh, Vipul Kumar - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 208-240

Persistent link: https://www.econbiz.de/10010259418

A quantitative mirror on the Euribor market using implied probability density functions

Puigvert-Gutiérrez, Josep Maria; De Vincent-Humphreys, … - In: Eurasian economic review : a journal of the Eurasia … 2 (2012) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010340001

Leveraged ETF options implied volatility paradox : a statistical study

Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016

ETF options to construct theoretical one-step-ahead implied volatility surfaces. The codes used to obtain the results in …). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … discrepancy between the IV smiles for levered and unlevered ETF options. We construct bootstrap uniform confidence bands which …

Persistent link: https://www.econbiz.de/10011437891

What makes volatility smile? : an empirical investigation of implied volatility functions in Indian market

Inder, Shivani; Pasricha, J. S. - In: Business analyst : a refereed journal of Shri Ram … 36 (2015) 1, pp. 127-145

Persistent link: https://www.econbiz.de/10011533053

Differences in trading and pricing between stock and index options

Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001

Persistent link: https://www.econbiz.de/10010403590

Information content of derivatives under varying market conditions and moneyness : the case of S&P CNX Nifty Index options

Pathak, Rajesh; Bhattacharjee, Kaushik; Reddy, Nagi - In: Global business review 16 (2015) 2, pp. 281-302

Persistent link: https://www.econbiz.de/10011408718

International oil market risk anticipations and the cushing bottleneck : option-implied evidence

Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280

Persistent link: https://www.econbiz.de/10012547136

Price risk management by using dynamic hedging based on advanced Black-Scholes model

Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10012602709