Information in Option Prices

Projekt Start: 04/2018
Status: Fortlaufend
Forscher: Milad Goodarzi, Christian Schlag, Rüdiger Weber
Kategorie: Financial Markets
Finanziert von: LOEWE

Zugehörige publizierte Papers

Autor(en) Titel Jahr Forschungs­bereich Keywords
Nicole Branger, Paulo Rodrigues, Christian Schlag Level and Slope of Volatility Smiles in Long-Run Risk Models
Journal of Economic Dynamics and Control
2018 Financial Markets Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Volatility-of-Volatility Risk
forthcoming in Journal of Financial and Quantitative Analysis
2018 Financial Markets

Zugehörige Working Papers

Nr. Autor(en) Titel Jahr Forschungs­bereich Keywords
210 Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Volatility-of-Volatility Risk 2018 Financial Markets volatility of volatility, hedging errors, risk premiums
186 Nicole Branger, Paulo Rodrigues, Christian Schlag Level and Slope of Volatility Smiles in Long-Run Risk Models 2017 Financial Markets Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

 

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