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~subject:"volatility smile"
~person:"Aboura, Sofiane"
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volatility smile
European-style option pricing
3
GARCH model
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Implied Volatility
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risk model
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Aboura, Sofiane
Mizrach, Bruce
6
Jackwerth, Jens Carsten
5
Janssen, Alexandra
5
Perrakis, Stylianos
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Boenkost, Wolfram
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Constantinides, George M.
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Studer-Suter, Rahel
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Agarwalla, Sobhesh Kumar
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Ji, Dasheng
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Kim, Sol
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Rubio Irigoyen, Gonzalo
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Rubio, Gonzalo
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Yamada, Yuji
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Journal of derivatives & hedge funds
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Option pricing with a dynamic fat-tailed model
Aboura, Sofiane
;
Valeyre, Sebastien
;
Wagner, Niklas F.
- In:
Journal of derivatives & hedge funds
20
(
2014
)
3
,
pp. 131-155
Persistent link: https://www.econbiz.de/10010462976
Saved in:
2
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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