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~institution:"Center for Financial Studies"
~institution:"Université Paris-Dauphine"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~subject:"EGARCH"
~subject:"GARCH model"
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Search: subject:"Implied volatility"
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EGARCH
GARCH model
Implied Volatility
7
Implied Volatility Skew
7
Analogy Making
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Implied Volatility Smile
5
Implied volatility
4
Option Pricing
4
implied volatility
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Behavioral Finance
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Coarse Thinking
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Anchoring
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Implied Volatility Term Structure
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Stochastic Volatility
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Black-Scholes Model
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Carbon price
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EU ETS
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Forward Discount Bias
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Implied volatility skew
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Information costs
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Jump Diffusion
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Aboura, Sofiane
1
Chevallier, Julien
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Center for Financial Studies
Université Paris-Dauphine
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Université Paris-Dauphine (Paris IX)
2
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1
Detecting instability in the volatility of carbon prices.
Chevallier, Julien
-
Université Paris-Dauphine
-
2011
measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (
implied
volatility
…
Persistent link: https://www.econbiz.de/10008725852
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2
GARCH option pricing under skew.
Aboura, Sofiane
-
Université Paris-Dauphine
-
2005
the change of regime in the
implied
volatility
surface. …
Persistent link: https://www.econbiz.de/10008520036
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