Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011-Reference-Cited by-同舟云学术

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Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

Published:2015-01 Issue:1 Volume:21 Page:17-25
ISSN:1135-2523
Container-title:Investigaciones Europeas de Dirección y Economía de la Empresa
language:en
Short-container-title:Investigaciones Europeas de Dirección y Economía de la Empresa

Author:

García-Machado Juan J.,Rybczyński Jarosław

Publisher

Elsevier BV

Subject

Marketing,Strategy and Management,Economics and Econometrics,Business and International Management

Reference55 articles.

1. The crash of 87: Was it expected? The evidence from options markets;Bates;Journal of Finance,1991

2. The valuation of option contracts and a test of market efficiency;Black;Journal of Finance,1972

3. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

4. Does net buying pressure affect the shape of the implied volatility functions?;Bollen;Journal of Finance,2004

5. Option pricing and investment strategies;Bookstaber,1991

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Intraday Trading Patterns on the Warsaw Stock Exchange;Contemporary Trends and Challenges in Finance;2018

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