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The forecasting performance of corridor implied volatility in the Italian market

Muzzioli, Silvia - In: Computational economics 41 (2013) 3, pp. 359-386

Persistent link: https://www.econbiz.de/10009711323

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Option pricing in the presence of uncertainty

Muzzioli, Silvia; Reynaerts, H. - In: Perception-based data mining and decision making in …, (pp. 275-301). 2007

Persistent link: https://www.econbiz.de/10003577446

A comparative assessment of different fuzzy regression methods for volatility forecasting

Muzzioli, Silvia; De Beats, B. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 4, pp. 433-450

Persistent link: https://www.econbiz.de/10010232663

Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

The optimal corridor for implied volatility : from periods of calm to turmoil

Muzzioli, Silvia - In: Journal of economics & business 81 (2015), pp. 77-94

Persistent link: https://www.econbiz.de/10011476102

A model for pricing an option with a fuzzy payoff

Muzzioli, Silvia; Torricelli, Costanza - In: Fuzzy economic review : the review of the International … 6 (2001) 1, pp. 49-62

Persistent link: https://www.econbiz.de/10001780115

A multiperiod binomial model for pricing options in a vague world

Muzzioli, Silvia; Torricelli, Costanza - In: Journal of economic dynamics & control 28 (2004) 5, pp. 861-887

Persistent link: https://www.econbiz.de/10001855983

Corridor Implied Volatility and the Variance Risk Premium in the Italian Market

Muzzioli, Silvia - 2011

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko (2007) is obtained from model-free implied volatility by truncating the integration domain between two barriers. Corridor implied volatility is implicitly linked with the concept...

Persistent link: https://www.econbiz.de/10013120968

The risk-asymmetry index as a new measure of risk

Elyasiani, Elyas; Gambarelli, Luca; Muzzioli, Silvia - In: Multinational finance journal 22 (2018) 3/4, pp. 173-210

Persistent link: https://www.econbiz.de/10012547710