Determinants of implied volatility smiles - An empirical analysis using intraday DAX equity options


In recent years, the importance of high frequency trading and data has enormously increased. Using over one million trade-by-trade DAX equity options from the EUREX in 2012 with corresponding order books a detailed,... [ view full abstract ]


  1. Andreas W. Rathgeber (University of Augsburg)
  2. Johannes Stadler (University of Augsburg)
  3. Markus Ulze (University of Augsburg)

Topic Areas

High-Frequency Trading , Limit-Order Books , Options


PS » Poster Presentations (11:00 - Monday, 16th July)

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