The implied volatility smirk
By Jin E. Zhang, Yi Xiang. 2008
104 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/b97108201773a643bc62d704db59b7eabeff5e96
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Eric C. Chang
- Jin E. Zhang
- Huimin Zhao
- Xingguo Luo
- Erhan Bayraktar
- Hao Xing
- Carol Alexander
- Andreas Kaeck
Citations in the corpus
- EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (2012, background): “2003b; Zhang and Xiang 2008).”
- The Term Structure of VIX (2012, background): “It is able to incorporate information from the volatility smirk as noted in Zhang and Xiang (2008) and Chang, Ren, and Shi (2009), by using a wider range of strike prices.”