Information in Option Prices

Project Start:04/2018
Status:Ongoing
Researchers:Milad Goodarzi, Christian Schlag, Rüdiger Weber
Category: Financial Markets
Funded by:LOEWE

Related Published Papers

Author/sTitleYearProgram AreaKeywords
Nicole Branger, Paulo Rodrigues, Christian SchlagLevel 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 ThimmeVolatility-of-Volatility Risk
Journal of Financial and Quantitative Analysis
2019 Financial Markets
Christian Schlag, Julian Thimme, Rüdiger WeberImplied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
Journal of Financial Economics
2021 Financial Markets Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

Related Working Papers

No.Author/sTitleYearProgram AreaKeywords
210Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian ThimmeVolatility-of-Volatility Risk2018 Financial Markets volatility of volatility, hedging errors, risk premiums
186Nicole Branger, Paulo Rodrigues, Christian SchlagLevel and Slope of Volatility Smiles in Long-Run Risk Models2017 Financial Markets Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile
265Christian Schlag, Julian Thimme, Rüdiger WeberImplied Volatility Duration: A Measure for the Timing of Uncertainty Resolution2020 Financial Markets Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing
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