A volatility smile-based uncertainty index

DOI10.1007/S10436-021-00384-6zbMATH Open1470.91290OpenAlexW3003447741MaRDI QIDQ2045101FDOQ2045101

Authors: José Valentim Machado Vicente, Jaqueline Terra Moura Marins 

Publication date: 11 August 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://www.bcb.gov.br/pec/wps/ingl/wps502.pdf

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zbMATH Keywords

uncertaintyriskvolatility smileFX option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Specification Tests in Econometrics
• Option pricing when underlying stock returns are discontinuous
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Alpha as ambiguity: robust mean-variance portfolio analysis
• Intertemporal Asset Pricing under Knightian Uncertainty
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

Cited In (3)

• Volatility smile as relativistic effect
• FIX: the fear index -- measuring market fear
• S&P 500 volatility, volatility regimes, and economic uncertainty

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