Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Year of publication: |
2023
|
---|---|
Authors: | Ulrich, Maxim ; Zimmer, Lukas ; Merbecks, Constantin |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 26.2023, 2/3, p. 135-169
|
Subject: | Implied volatility estimation | Kernel smoother | Prediction accuracy | Single stock options | Three-dimensional vs. one-dimensional smoothing | Volatility surface construction | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Aktienoption | Stock option | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
-
Implied volatility estimation of bitcoin options and the stylized facts of option pricing
Zulfiqar, Noshaba, (2021)
-
Muzzioli, Silvia, (2013)
-
The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?
Han, Yufeng, (2020)
- More ...
-
Perceived corporate social responsibility effects across nations : the role of national institutions
Zimmer, Lukas, (2023)
-
Inflation ambiguity and the term structure of U.S. Government bonds
Ulrich, Maxim, (2013)
-
Option-implied information: What’s the vol surface got to do with it?
Ulrich, Maxim, (2020)
- More ...