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Jarosław Rybczynski ;Investigaciones Europeas de Dirección y Economía de la Empresa 2015, 21 1

Autor: Juan J. García-Machado

Fuente: http://www.redalyc.org/articulo.oa?id=274146980003


Introducción



Investigaciones Europeas de Dirección y Economía de la Empresa ISSN: 1135-2523 iedee@aedem-virtual.com Academia Europea de Dirección y Economía de la Empresa España García-Machado, Juan J.; Rybczynski, Jarosaw Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011 Investigaciones Europeas de Dirección y Economía de la Empresa, vol.
21, núm.
1, 2015, pp.
17-25 Academia Europea de Dirección y Economía de la Empresa Vigo, España Available in: http:--www.redalyc.org-articulo.oa?id=274146980003 How to cite Complete issue More information about this article Journals homepage in redalyc.org Scientific Information System Network of Scientific Journals from Latin America, the Caribbean, Spain and Portugal Non-profit academic project, developed under the open access initiative Investigaciones Europeas de Dirección y Economía de la Empresa 21 (2015) 17–25 www.elsevier.es-iedee Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011 Juan J.
García-Machado a,∗ , Jarosław Rybczyński b a b University of Huelva, Plaza de La Merced, 11, E-21071 Huelva, Spain University of Silesia In Katowice, Ul.
75 PulkuPiechoty 1, 11, 41-500 Chorzów, Poland a r t i c l e i n f o Article history: Received 3 March 2013 Accepted 3 September 2013 Available online 16 November 2013 Códigos JEL: C88 G10 G13 Palabras clave: Opciones Sonrisa de la volatilidad Volatilidad implícita Efecto sonrisa Asimetría Monetización WIG20 a b s t r a c t This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011.
In this period, the polish index has dropped about 20% in two weeks time.
By linear interpolation, implied volatilities for moneyness points needed were cal...





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