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~isPartOf:"Economics Papers from University Paris Dauphine"
~isPartOf:"Journal of Emerging Market Finance"
~subject:"Implied volatility smile"
~subject:"volatility smile"
~type:"book"
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Implied volatility smile
volatility smile
European-style option pricing
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2000 Conference, April 17-18 2000, Chicago, Illinois
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Option Pricing with a Dynamic Fat-Tailed Model
Aboura, Sofiane
;
Valeyre, Sébastien
;
Wagner, Niklas
-
Université Paris-Dauphine (Paris IX)
-
2013
model adequately fits the
volatility
smile
dynamics particularly during stress periods. Furthermore, we find that the …
Persistent link: https://www.econbiz.de/10010891139
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