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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

A comparison of implied and realized volatility in the Nordic power forward market

Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy economics 48 (2015), pp. 288-294

Persistent link: https://www.econbiz.de/10011533819

The derivatives market and financial instability

Ionescu, Cristian - In: Economics, management and financial markets 9 (2014) 1, pp. 457-465

Persistent link: https://www.econbiz.de/10011543988

The impact of uncertainty in the oil and gold market on the cross-section of stock returns

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015

Persistent link: https://www.econbiz.de/10011547101

Inflation, deflation, and uncertainty : what drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis

Scharnagl, Michael; Stapf, Jelena - In: Economic modelling 48 (2015), pp. 248-269

Persistent link: https://www.econbiz.de/10011454185

On robustness of the black-scholes partial differential equation model

Mastinsek, Miklavz - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-11

Persistent link: https://www.econbiz.de/10011455391

Does the pricing kernel anomaly reflect forward looking beliefs?

Sala, Carlo - 2015

precision parameter of the DP process is calibrated to the amount of trading activity in deep-out-of-the-money options. We use …

Persistent link: https://www.econbiz.de/10011506354

Divergence and the price of uncertainty

Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...

Persistent link: https://www.econbiz.de/10011507861

Updating the option implied probability of default methodology

Vilsmeier, Johannes - In: The journal of computational finance 19 (2016) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011563457

A cumulative prospect view on portfolios that hold structured products

Vandenbroucke, Jürgen - In: The journal of behavioral finance : a publication of … 16 (2015) 4, pp. 297-310

Persistent link: https://www.econbiz.de/10011566139

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