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Search: subject:"frowns"
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frowns
3
implied volatility
3
option pricing
3
quadratic volatility
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smiles
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stochastic differential equation
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Frowns
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Implied Volatility
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Zühlsdorff, Christian
3
Lim, G.C.
1
Martin, G.M.
1
Martin, V.L.
1
Zuhlsdorff, Christian
1
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Department of Econometrics and Business Statistics, Monash Business School
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University of Bonn, Germany
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1
The Pricing of Derivatives on Assets with Quadratic Volatility
Zühlsdorff, Christian
-
2002
the case of quadratic volatility. The implied Black-Scholes volatilities of the Bachelier and the affine model are
frowns
…
Persistent link: https://www.econbiz.de/10010317656
Saved in:
2
The pricing of derivatives on assets with quadratic volatility
Zühlsdorff, Christian
-
2002
the case of quadratic volatility. The implied Black-Scholes volatilities of the Bachelier and the affine model are
frowns
…
Persistent link: https://www.econbiz.de/10011539634
Saved in:
3
Pricing Currency Options in Tranquil Markets: Modelling Volatility
Frowns
Lim, G.C.
;
Martin, G.M.
;
Martin, V.L.
-
Department of Econometrics and Business Statistics, …
-
2002
distribution. Pricing currency options during tranquil periods on the assumption of normal returns yields implied volatility
frowns
…
Persistent link: https://www.econbiz.de/10005581153
Saved in:
4
The Pricing of Derivatives on Assets with Quadratic Volatility
Zühlsdorff, Christian
-
University of Bonn, Germany
-
2002
the case of quadratic volatility. The implied Black-Scholes volatilities of the Bachelier and the affine model are
frowns
…
Persistent link: https://www.econbiz.de/10004968438
Saved in:
5
The pricing of derivatives on assets with quadratic volatility
Zuhlsdorff, Christian
- In:
Applied Mathematical Finance
8
(
2001
)
4
,
pp. 235-262
the case of quadratic volatility. The implied Black-Scholes volatilities of the Bachelier and the affine model are
frowns
…
Persistent link: https://www.econbiz.de/10005495432
Saved in:
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