The impact of the leverage effect on the implied volatility smile: evidence for the German option market

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Location: Deutsche Nationalbibliothek Frankfurt am Main

ISSN: 1573-7144

Extent: Online-Ressource

Language: Englisch

Notes: online resource.

Bibliographic citation: The impact of the leverage effect on the implied volatility smile: evidence for the German option market ; day:15 ; month:9 ; year:2020 ; pages:1-39
Review of derivatives research ; (15.9.2020), 1-39

Classification: Wirtschaft

Creator: Rathgeber, A. W.
Stadler, Johannes
Stöckl, S.

Contributor: SpringerLink (Online service)

DOI: 10.1007/s11147-020-09171-3

URN: urn:nbn:de:101:1-2020110322221312516111

Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 15.08.2025, 7:22 AM CEST

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Rathgeber, A. W.
Stadler, Johannes
Stöckl, S.
SpringerLink (Online service)

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The impact of the leverage effect on the implied volatility smile: evidence for the German option market

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The impact of the leverage effect on the implied volatility smile: evidence for the German option market

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Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Implied Correlation Smile

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Arbitrage-Free Smoothing of the Implied Volatility Surface

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The impact of the leverage effect on the implied volatility smile: evidence for the German option market

The impact of the leverage effect on the implied volatility smile - evidence for the German option market

Arbeitspapier

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Implied Correlation Smile

Identifying the implied volatility using the total variation regularization

Interest rate convexity and the volatility smile

Arbeitspapier

Interest rate convexity and the volatility smile

Arbeitspapier

Arbitrage-free smoothing of the implied volatility surface

Journal article | Zeitschriftenartikel

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Arbitrage-Free Smoothing of the Implied Volatility Surface

Arbitrage-free smoothing of the implied volatility surface

Arbeitspapier

Implied volatility string dynamics

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The impact of the leverage effect on the implied volatility smile: evidence for the German option market

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Other Objects (12)

The impact of the leverage effect on the implied volatility smile: evidence for the German option market

The impact of the leverage effect on the implied volatility smile - evidence for the German option market

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Implied Correlation Smile

Identifying the implied volatility using the total variation regularization

Interest rate convexity and the volatility smile

Interest rate convexity and the volatility smile

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-Free Smoothing of the Implied Volatility Surface

Arbitrage-free smoothing of the implied volatility surface

Implied volatility string dynamics

The impact of the leverage effect on the implied volatility smile: evidence for the German option market

The impact of the leverage effect on the implied volatility smile - evidence for the German option market

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Implied Correlation Smile

Identifying the implied volatility using the total variation regularization

Interest rate convexity and the volatility smile

Interest rate convexity and the volatility smile

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-Free Smoothing of the Implied Volatility Surface

Arbitrage-free smoothing of the implied volatility surface

Implied volatility string dynamics

The impact of the leverage effect on the implied volatility smile: evidence for the German option market

The impact of the leverage effect on the implied volatility smile - evidence for the German option market

Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface

Implied Correlation Smile

Identifying the implied volatility using the total variation regularization

Interest rate convexity and the volatility smile

Interest rate convexity and the volatility smile

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-free smoothing of the implied volatility surface

Arbitrage-Free Smoothing of the Implied Volatility Surface

Arbitrage-free smoothing of the implied volatility surface

Implied volatility string dynamics

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