Results 211 to 220 of about 15,273 (231)

Do Aussie markets smile? Implied volatility functions and determinants

Applied Economics, 2015
Michael Dempsey
exaly  

Implied volatility and volatility smiles

2018
openaire   +1 more source

Modeling volatility smile: Empirical evidence from India

Journal of Derivatives and Hedge Funds, 2013
Vipul Kumar Singh
exaly  

Implied non-recombining trees and calibration for the volatility smile

Quantitative Finance, 2007
Chris Charalambous, Nicos Christofides, Spiros H Martzoukos   +2 more
exaly  

The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs

International Review of Financial Analysis, 2015
Geoffrey C Friesen
exaly  

Volatility Smile and Delta Hedging

2014
The thesis describes and applies two parametric option pricing models which partially ease the well-known discrepancy between real world and Black-Scholes model. Stochastic volatility and jumps encompassed by Heston and SVJ models explain implied volatility smile and its heterogeneous term-structure.
openaire   +1 more source

Cross Economic Determinants of Implied Volatility Smile Dynamics: Three Major European Currency Options

European Financial Management, 2016
Qian Han, Jufang Liang
exaly  

Jump risk, stock returns, and slope of implied volatility smile

Journal of Financial Economics, 2011
exaly  

Smoothing the volatility smile using the Corrado-Su model

International Journal of Financial Markets and Derivatives, 2015
Vinicius Mothe Maia, Antonio Carlos Figueiredo Pinto, Marcelo Cabus Klotzle   +2 more
exaly  

The Smile of Stochastic Volatility Models

2023
openaire   +1 more source