Catastrophe Risk and the Implied Volatility Smile
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/jori.12268
Reference37 articles.
1. Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach
2. Ammar S. B. 2018 Supplementary Material to ‘Catastrophe Risk and the Implied Volatility Smile’Journal of Risk and Insurance.http://dx.doi.org/10.1111/jori.12268
3. The Joint Cross Section of Stocks and Options
4. Disasters Implied by Equity Index Options
5. Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
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