Matches in SemOpenAlex for { <https://semopenalex.org/work/W2952137911> ?p ?o ?g. }
Showing items 1 to 75 of
75
with 100 items per page.
- W2952137911 abstract "It is a common practise to quote option prices using their BlackScholes implied volatility. A volatility surface describes an options implied volatility as a function of the strike price and time to maturity. It can be used as a tool for hedging but also valuation when prices are not directly observable. The short-term evolution of this surface has been described by a variety of apocryphal rules. Three of these rules are tested empirically for exchange traded S&P 500 index options for two distinguished periods. The square root of time rule, consistent with the no-arbitrage condition, has the highest explanatory and predictive power. Extended versions are also derived but with no significant improvement." @default.
- W2952137911 created "2019-06-27" @default.
- W2952137911 creator A5033134045 @default.
- W2952137911 date "2019-01-01" @default.
- W2952137911 modified "2023-09-27" @default.
- W2952137911 title "Testing Extended Rules of Thumb for the Dynamics of Volatility Surfaces" @default.
- W2952137911 hasPublicationYear "2019" @default.
- W2952137911 type Work @default.
- W2952137911 sameAs 2952137911 @default.
- W2952137911 citedByCount "0" @default.
- W2952137911 crossrefType "journal-article" @default.
- W2952137911 hasAuthorship W2952137911A5033134045 @default.
- W2952137911 hasConcept C10138342 @default.
- W2952137911 hasConcept C106159729 @default.
- W2952137911 hasConcept C111472728 @default.
- W2952137911 hasConcept C11413529 @default.
- W2952137911 hasConcept C117996083 @default.
- W2952137911 hasConcept C13290067 @default.
- W2952137911 hasConcept C138885662 @default.
- W2952137911 hasConcept C149782125 @default.
- W2952137911 hasConcept C160623529 @default.
- W2952137911 hasConcept C162324750 @default.
- W2952137911 hasConcept C186027771 @default.
- W2952137911 hasConcept C192620184 @default.
- W2952137911 hasConcept C24189920 @default.
- W2952137911 hasConcept C2777402642 @default.
- W2952137911 hasConcept C33923547 @default.
- W2952137911 hasConcept C85393063 @default.
- W2952137911 hasConcept C89246107 @default.
- W2952137911 hasConcept C91602232 @default.
- W2952137911 hasConceptScore W2952137911C10138342 @default.
- W2952137911 hasConceptScore W2952137911C106159729 @default.
- W2952137911 hasConceptScore W2952137911C111472728 @default.
- W2952137911 hasConceptScore W2952137911C11413529 @default.
- W2952137911 hasConceptScore W2952137911C117996083 @default.
- W2952137911 hasConceptScore W2952137911C13290067 @default.
- W2952137911 hasConceptScore W2952137911C138885662 @default.
- W2952137911 hasConceptScore W2952137911C149782125 @default.
- W2952137911 hasConceptScore W2952137911C160623529 @default.
- W2952137911 hasConceptScore W2952137911C162324750 @default.
- W2952137911 hasConceptScore W2952137911C186027771 @default.
- W2952137911 hasConceptScore W2952137911C192620184 @default.
- W2952137911 hasConceptScore W2952137911C24189920 @default.
- W2952137911 hasConceptScore W2952137911C2777402642 @default.
- W2952137911 hasConceptScore W2952137911C33923547 @default.
- W2952137911 hasConceptScore W2952137911C85393063 @default.
- W2952137911 hasConceptScore W2952137911C89246107 @default.
- W2952137911 hasConceptScore W2952137911C91602232 @default.
- W2952137911 hasLocation W29521379111 @default.
- W2952137911 hasOpenAccess W2952137911 @default.
- W2952137911 hasPrimaryLocation W29521379111 @default.
- W2952137911 hasRelatedWork W1545928614 @default.
- W2952137911 hasRelatedWork W180287977 @default.
- W2952137911 hasRelatedWork W1941665892 @default.
- W2952137911 hasRelatedWork W2030034478 @default.
- W2952137911 hasRelatedWork W2085170547 @default.
- W2952137911 hasRelatedWork W2093240633 @default.
- W2952137911 hasRelatedWork W2117213979 @default.
- W2952137911 hasRelatedWork W2152535677 @default.
- W2952137911 hasRelatedWork W2169908486 @default.
- W2952137911 hasRelatedWork W2563808743 @default.
- W2952137911 hasRelatedWork W2890722001 @default.
- W2952137911 hasRelatedWork W3122410973 @default.
- W2952137911 hasRelatedWork W3122665519 @default.
- W2952137911 hasRelatedWork W3123068911 @default.
- W2952137911 hasRelatedWork W3123447218 @default.
- W2952137911 hasRelatedWork W3123485991 @default.
- W2952137911 hasRelatedWork W3125997714 @default.
- W2952137911 hasRelatedWork W4723261 @default.
- W2952137911 hasRelatedWork W585821112 @default.
- W2952137911 hasRelatedWork W3123863033 @default.
- W2952137911 isParatext "false" @default.
- W2952137911 isRetracted "false" @default.
- W2952137911 magId "2952137911" @default.
- W2952137911 workType "article" @default.