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The Dynamics of DAX Implied Volatilities · Study

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PreprintThe Dynamics of DAX Implied Volatilities

Martin Wallmeier2000

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The Dynamics of DAX Implied Volatilities

Martin Wallmeier · Reinhold Hafner

68 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The pricing of commodity contracts 1994Implied Binomial Trees

Cited by

2003Arbitrage-free estimation of the risk-neutral density from the implied volatility smile 2009Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland 2009Dynamics of state price densities 2011Option Data and Modeling BSM Implied Volatility 2017A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics 2008Optimal Investments in Volatility

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2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEYarticle · 15 shared references 2001IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITYarticle · 11 shared references 2007The economic determinants of interest rate option smilesarticle · 11 shared references 2001The Price of a Smile: Hedging and Spanning in Option Marketsarticle · 10 shared references 1999Why do we smile? On the determinants of the implied volatility functionarticle · 10 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 10 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations68

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.234829

openalex_workW2099424930

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2008Market Pricing of Exotic Structured Products: The Case of Multi-Asset Barrier Reverse Convertibles in Switzerland

2011Multivariate downside risk: Normal versus Variance Gamma