Peter H. Gruber

University of Lugano - Institute of Finance

Researcher

Via Buffi 13

CH-6900 Lugano

Switzerland

SCHOLARLY PAPERS

3

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SSRN CITATIONS

1

CROSSREF CITATIONS

11

Scholarly Papers (3)

1.

The Price of the Smile and Variance Risk Premia

Swiss Finance Institute Research Paper No. 15-36
Number of pages: 70 Posted: 18 Sep 2015 Last Revised: 25 Sep 2015
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 452 (74,518)
Citation 14

Abstract:

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Price of the Smile, Price of Volatility, Option Pricing, Stochastic Volatility, Unspanned Skewness, Financial Constrains, Financial Intermediation, Financial Crisis, Factor Models, Matrix Jump Diffusions, Variance Swaps, Skew Swaps

2.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011
University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 416 (82,229)
Citation 5

Abstract:

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Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

3.

Three Make a Smile – Dynamic Volatility, Skewness and Term Structure Components in Option Valutation

CAREFIN Research Paper No. 02/2010
Number of pages: 44 Posted: 30 Mar 2011
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 267 (134,283)

Abstract:

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Option Pricing, Stochastic Volatility, Short and Long Term Volatility Risk, Stochastic Leverage, Wishart Diffusion