Silvia Muzzioli

University of Modena and Reggio Emilia (UNIMORE) - Dep. of Economics

Associate Professor

V.le Berengario 51

Modena, Modena 41121

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

280

CITATIONS

0

Scholarly Papers (2)

1.

The Skew Pattern of Implied Volatility in the DAX Index Options Market

Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 43-68, 2011
Number of pages: 26 Posted: 29 Feb 2012
Silvia Muzzioli
University of Modena and Reggio Emilia (UNIMORE) - Dep. of Economics
Downloads 140 (138,029)

Abstract:

Implied Volatility, Volatility Smile, Volatility Forecasting, Option

2.

Corridor Implied Volatility and the Variance Risk Premium in the Italian Market

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 36 Posted: 30 Aug 2011
Silvia Muzzioli
University of Modena and Reggio Emilia (UNIMORE) - Dep. of Economics
Downloads 82 (234,088)

Abstract:

corridor implied volatility, variance swap, corridor variance swap, variance risk premium