A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model
| Year of publication: |
2004
|
|---|---|
| Authors: | Mancino, M. E. ; Ogawa, S. ; Sanfelici, S. |
| Institutions: | Facoltà di Economia, Università degli Studi di Parma |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Number 2004-ME01 13 pages |
| Source: |
Persistent link: https://www.econbiz.de/10005272734