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/s | Title | Year | Program Area | 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 Journal of Financial and Quantitative Analysis | 2019 | Financial Markets | |
| Christian Schlag, Julian Thimme, Rüdiger Weber | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution forthcoming in 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/s | Title | Year | Program Area | 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 |
| 265 | Christian Schlag, Julian Thimme, Rüdiger Weber | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution | 2020 | Financial Markets | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing |
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