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~subject:"volatility smile"
~institution:"Banca d'Italia"
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volatility smile
GARCH model
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L�vy processes
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filtered historical simulation
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non-Gaussian Ornstein-Uhlenbeck processes
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option pricing
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particle filter
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Bianchi, Michele Leonardo
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Banca d'Italia
Department of Economics, Rutgers University-New Brunswick
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
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Departamento de Economía Aplicada III (Econometría y Estadística), Facultad de Ciencias Económicas y Empresariales
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NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
;
Rachev, …
-
Banca d'Italia
-
2014
time series and to fit the
volatility
smile
for exchange-traded options where the underlying is the main �Borsa Italianaï …
Persistent link: https://www.econbiz.de/10011099609
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