On implied volatility for options—Some reasons to smile and more to correct
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DOI: 10.1016/j.jeconom.2013.10.007
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Citations
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Cited by:
- Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]," MPRA Paper 57017, University Library of Munich, Germany.
- Shu Ling Chiang & Ming Shann Tsai, 2019. "Valuation of an option using non-parametric methods," Review of Derivatives Research, Springer, vol. 22(3), pages 419-447, October.
- Beer, Simone & Braun, Alexander, 2022. "Market-consistent valuation of natural catastrophe risk," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Zheng Xu, 2016. "An alternative circular smoothing method to nonparametric estimation of periodic functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1649-1672, July.
- Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
- Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
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More about this item
Keywords
Bias correction; Implied volatility; Kernel estimator; Pricing errors;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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