The impact of the leverage effect on the implied volatility smile: evidence for the German option market
type: Item
instance of: scholarly article
title: The impact of the leverage effect on the implied volatility smile: evidence for the German option market
zbMATH Open document ID: 1470.91287
author: Yanyan Li
published in: Review of Derivatives Research
publication date: 2021-08-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 7383471
zbMATH Keywords: implied volatilty smile
zbMATH Keywords: leverage effect
zbMATH Keywords: event study
zbMATH Keywords: tick data
MaRDI profile type: Publication
full work available at URL: s11147-020-09171-3
OpenAlex ID: W3123908946
cites work: The pricing of options and corporate liabilities
cites work: Why is the Index Smile So Steep? *
cites work: Detection of Influential Observation in Linear Regression
cites work: Influential Observations in Linear Regression
cites work: Smile in motion: An intraday analysis of asymmetric implied volatility
cites work: The Estimation of Leverage Effect With High-Frequency Data
DOI: 10.1007/S11147-020-09171-3
description: scientific article; zbMATH DE number 7383471