Smile in motion: An intraday analysis of asymmetric implied volatility

DOI10.3233/AF-150048zbMath1419.91629OpenAlexW3123512995MaRDI QIDQ4586448

Martin Wallmeier

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-150048

zbMATH Keywords

high-frequency dataleverage effectvolatility smileimplied volatilityindex options

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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