Johannes Stadler

University of Augsburg - Institute of Materials Resource Management

Augsburg, 86159

Germany

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Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options

Number of pages: 45 Posted: 20 Nov 2017 Last Revised: 05 Jun 2018
Andreas Rathgeber, Johannes Stadler and Markus Ulze
University of Augsburg - Institute of Materials Resource Management, University of Augsburg - Institute of Materials Resource Management and University of Augsburg - Institute of Materials Resource Management
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Abstract:

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Implied Volatilty Smile, Market Microstructure, Order Book, Buyer-/ Seller-Motivated Trades, Flickering Quotes