Details about Silvia Muzzioli

Access statistics for papers by Silvia Muzzioli.

Last updated 2012-04-12. Update your information in the RePEc Author Service.

Short-id: pmu314

Working Papers

2011

1. Assessing the information content of option-based volatility forecasts using fuzzy regression methods
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
2. Corridor implied volatility and the variance risk premium in the Italian market
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi"

2010

3. Towards a volatility index for the Italian stock market
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi"

2009

4. The skew pattern of implied volatility in the DAX index options market
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
   Also in Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" (2009) View citations (1)
   See also Journal Article in Frontiers in Finance and Economics (2011)

2008

5. Option based forecasts of volatility: An empirical study in the DAX index options market
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi" View citations (1)
   See also Journal Article in European Journal of Finance (2010)

2007

6. The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market
   Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi"

2005

7. The no arbitrage condition in option implied trees: evidence from the Italian index options market
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"

2003

8. Call and put implied volatilities and the derivation of option implied trees
   Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" View citations (2)
   See also Journal Article in Frontiers in Finance and Economics (2007)

Journal Articles

2011

1. The Skew Pattern of Implied Volatility in the DAX Index Options Market
   Frontiers in Finance and Economics, 2011, 8, (1), 43-68 View citations (1)
   See also Working Paper (2009)

2010

2. Option-based forecasts of volatility: an empirical study in the DAX-index options market
   European Journal of Finance, 2010, 16, (6), 561-586 View citations (1)
   See also Working Paper (2008)

2009

3. On the no-arbitrage condition in option implied trees
   European Journal of Operational Research, 2009, 193, (1), 212-221 View citations (1)

2007

4. Call an Put Implied Volatilities and the Derivation of Option Implied Trees
   Frontiers in Finance and Economics, 2007, 4, (1), 35-64
   See also Working Paper (2003)
5. Solving parametric fuzzy systems of linear equations by a nonlinear programming method
   Computational Economics, 2007, 29, (2), 107-117
6. The solution of fuzzy linear systems by non-linear programming: a financial application
   European Journal of Operational Research, 2007, 177, (2), 1218-1231 View citations (1)

2005

7. The pricing of options on an interval binomial tree. An application to the DAX-index option market
   European Journal of Operational Research, 2005, 163, (1), 192-200 View citations (1)

2004

8. A multiperiod binomial model for pricing options in a vague world
   Journal of Economic Dynamics and Control, 2004, 28, (5), 861-887 View citations (3)

2001

9. A MODEL FOR PRICING AN OPTION WITH A FUZZY PAYOFF
   Fuzzy Economic Review, 2001, VI, (1), 49-87 View citations (2)