Using interpolated implied volatility for analysing exogenous market changes

This paper focuses on market changes due to exogenous effects. The standard implied volatility is shown to be insufficient for a proper detection and analysis of this type of risk. This is mainly because such changes are usually dominated by endogenous effects coming from a specific trading mechanis...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Computational management science 2024-06, Vol.21 (1), p.1-21, Article 25
Hauptverfasser:	Maciak, Matúš, Vitali, Sebastiano
Format:	Artikel
Sprache:	eng
Schlagworte:	Business and Management Empirical analysis Operations Research/Decision Theory Optimization Options markets Original Paper Put & call options Statistical tests Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!