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~isPartOf:"International Review of Financial Analysis"
~isPartOf:"Banco de España Working Papers"
~subject:"density expansions"
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density expansions
Implied volatility
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Price discovery process
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Sovereign ratings
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Stock index options
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gram-charlier
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kurtosis
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Parametric properties of semi-nonparametric distributions, with applications to option valuation
León, Ángel
;
Mencía, Javier
;
Sentana, Enrique
-
Banco de España
-
2007
&P500
index
options
, we compare our model to the standard and Practitioner's Black-Scholes formulas, truncated expansions …
Persistent link: https://www.econbiz.de/10005155212
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