Results 301 to 310 of about 598,007 (315)

A regime-switching model with the volatility smile for two-asset European options

at - Automatisierungstechnik, 2014
Junseok Kim, Darae Jeong, Dong-Hoon Shin
semanticscholar   +1 more source

Do ETFs Increase Volatility?

Journal of Finance, 2018
Itzhak Ben-David, Francesco Franzoni, Rabih Moussawi   +2 more
exaly  

Opční "volatility smile"

2022
openaire   +1 more source

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

Volatility‐Managed Portfolios

Journal of Finance, 2017
Alan Moreira, Tyler Muir
exaly  

Collective behavior and options volatility smile: An agent-based explanation

, 2014
Yi-Fang Liu, Wei Zhang, Hai-Chuan Xu
semanticscholar   +1 more source

Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models

Expert Systems With Applications, 2018
Ha Young Kim
exaly  

The Impact of Jumps in Volatility and Returns

Journal of Finance, 2003
Michael Johannes
exaly  

The Impact of Computational Error on the Volatility Smile

, 2013
D. Chance, Thomas A. Hanson, Weiping Li, J. Muthuswamy   +3 more
semanticscholar   +1 more source

Chapter 11. Volatility Smiles

2018
openaire   +1 more source