The skew pattern of implied volatility in the DAX index options market
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- Silvia Muzzioli, 2011. "The Skew Pattern of Implied Volatility in the DAX Index Options Market," Frontiers in Finance and Economics, SKEMA Business School, vol. 8(1), pages 43-68, April.
- Silvia Muzzioli, 2009. "The skew pattern of implied volatility in the DAX index options market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09122, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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Keywordsimplied Volatility; volatility Smile; volatility forecasting; option type;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-FMK-2009-10-24 (Financial Markets)
- NEP-FOR-2009-10-24 (Forecasting)
- NEP-MST-2009-10-24 (Market Microstructure)
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