The smirk in the S\&P500 futures options prices: a linearized factor analysis (Q1039662): Difference between revisions

@@ Property / author @@
+Andrew P. Carverhill
@@ Property / author: Andrew P. Carverhill / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11147-009-9037-2
+Normal rank
@@ Property / OpenAlex ID @@
+W3123792127
@@ Property / OpenAlex ID: W3123792127 / rank @@
+Normal rank
@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+The dynamics of the S\&P 500 implied volatility surface
+Normal rank