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
2020 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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