Assessing the performance of symmetric and asymmetric implied volatility functions-Reference-Cited by-同舟云学术

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Assessing the performance of symmetric and asymmetric implied volatility functions

Published:2013-02-24 Issue:3 Volume:42 Page:373-397
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Andreou Panayiotis C.,Charalambous Chris,Martzoukos Spiros H.

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-013-0346-z.pdf

Reference42 articles.

1. Ahoniemi K, Lanne M (2009) Joint modeling of call and put implied volatility. Int J Forecast 25(2):239–258

2. Andreou PC, Charalambous C, Martzoukos SH (2008) Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters. Eur J Oper Res 185(3):1415–1433

3. Andreou PC, Charalambous C, Martzoukos SH (2010) Generalized parameter functions for option pricing. J Bank Financ 34(3):633–646

4. Bakshi G, Cao C, Chen Z (1997) Empirical performance of alternative options pricing models. J Financ 52(5):2003–2049

5. Bakshi G, Kapadia N, Madan D (2003) Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev Financ Stud 16(1):101–143

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4. Option valuation under no-arbitrage constraints with neural networks;European Journal of Operational Research;2021-08

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