What determines volatility smile in China?-Reference-Cited by-同舟云学术

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What determines volatility smile in China?

Published:2021-03 Issue: Volume:96 Page:326-335
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Li Pengshi,Xian Aichuan,Lin Yan

Funder

National Natural Science Foundation of China

Peking University

Guangdong Science and Technology Department

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference18 articles.

1. Empirical performance of alternative option pricing models;Bakshi;J. Finance,1997

2. Determinants of the Implied Volatility Function on the Italian Stock Market;Beber,2001

3. Does net buying pressure affect the shape of the implied volatiltiy functions?;Bollen;J. Finance,2004

4. Modelling the implied volatility surface: does market efficiency matter? An application to MIB30 index options;Cassese;Int. Rev. Financ. Anal.,2005

5. The Volatiltiy Smile;Derman,2016

Cited by 3 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. Smirking in the Energy Market: Evidence from the Chinese Crude Oil Options Market;2024

2. Which implied volatilities contain more information? Evidence from China;International Journal of Finance & Economics;2023-01-03

3. Distance to default based on the CEV-KMV model;J RISK;2022

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