providing citation data for Economics since 2001
Step 1 of 3. This form allows you to add a new citation to our database.
Our data says that the document:
Matthias, Fengler ; Matthias, Fengler ; Winfried, Koeniger ; Stephan, Minger ; Winfried, Koeniger. (2024) The Transmission of Monetary Policy to the Cost of Hedging.
In: CESifo Working Paper Series. RePEc:ces:ceswps:_11556.
Full description at Econpapers
cites:
Option pricing theory has substantiated this dependence. Medvedev and Scaillet (2007) and Durrleman (2008) prove that the IV of an option with strike equal to the underlying price converges to the spot volatility as the tenor converges to zero.36 Thus, order books and prices of short-dated ATM options provide significant information about the state of spot volatility. Additionally, research by Bollerslev and Todorov (2011, 2014) and Andersen et al. (2015, 2020) has shown that far OTM puts and calls with short tenors can reveal information about downside and upside jump risks.
but, as far as we know, such cited document is not available on RePEc.
If you know this information is not correct, you may help us to improve our service giving us the handle of the cited document in the box below. In this way, we could add the citation to CitEc.
Note that if you are the author of a cited document which it is not available on RePEc, you can submit a copy to the Munich Personal RePEc Archive (MPRA). Upload a paper now.