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Chen, Ren-Raw
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Explaining the
volatility
smile
: non-parametric versus parametric option models
Lin, Hsuan-Chu
;
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of quantitative finance and accounting
46
(
2016
)
4
,
pp. 907-935
Persistent link: https://www.econbiz.de/10011595494
Saved in:
2
A Non-Parametric Option Pricing Model: Theory and Empirical Evidence
Chen, Ren-Raw
;
Palmon, Oded
- In:
Review of Quantitative Finance and Accounting
24
(
2005
)
2
,
pp. 115-134
-arbitrage, must be assumed. Using the histogram of past S&P 500 index returns, we find that most of the
volatility
smile
documented in …
Persistent link: https://www.econbiz.de/10005701215
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