A volatility smile-based uncertainty index

DOI10.1007/S10436-021-00384-6zbMath1470.91290OpenAlexW3003447741MaRDI QIDQ2045101

José Valentim Machado Vicente, Jaqueline Terra Moura Marins

Publication date: 11 August 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://www.bcb.gov.br/pec/wps/ingl/wps502.pdf

zbMATH Keywords

uncertaintyriskvolatility smileFX option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Specification Tests in Econometrics
• Intertemporal Asset Pricing under Knightian Uncertainty
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Ambiguity, Risk, and Asset Returns in Continuous Time

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