The skew pattern of implied volatility in the DAX index options market
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Other versions of this item:
- 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," Department of Economics 0617, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
More about this item
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-2009-12-11 (All new papers)
- NEP-FMK-2009-12-11 (Financial Markets)
- NEP-FOR-2009-12-11 (Forecasting)
- NEP-MST-2009-12-11 (Market Microstructure)
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