On volatility smile and an investment strategy with out-of-the-money calls
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Publication:253093
DOI10.1007/S11579-015-0152-6zbMath1404.91253arXiv1410.1426OpenAlexW2962991945MaRDI QIDQ253093
Publication date: 8 March 2016
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.1426
volatility smileCAPMBlack-Scholescompatibility of valuation modelshigh-frequency tradingsharpe ratiostate price density
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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- An Empirical Portfolio Perspective on Option Pricing Anomalies*
- Arbitrage Theory in Continuous Time
- Compatibility between pricing rules and risk measures: The CCVaR
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