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

DOI10.1007/s11147-020-09171-3zbMath1470.91287OpenAlexW3123908946MaRDI QIDQ2047035

Yanyan Li

Publication date: 19 August 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-020-09171-3

zbMATH Keywords

event studyleverage effecttick dataimplied volatilty smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Detection of Influential Observation in Linear Regression
• Influential Observations in Linear Regression
• Smile in motion: An intraday analysis of asymmetric implied volatility
• Why is the Index Smile So Steep? *
• The Estimation of Leverage Effect With High-Frequency Data