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 Research 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

Related Working Papers

No. Author/s Title Year Research Area Keywords
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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