A note on the implied volatility of floating strike Asian options
Year of publication: |
2019
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Authors: | Alòs, Elisa ; León, Jorge A. |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 743-758
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Subject: | Floating strike | Asian options | Kirk’s formula | Malliavin calculus | Derivative operator in the Malliavin calculus sense | Skorohod integral | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Asien | Asia | Arbeitskampf | Industrial action | Black-Scholes-Modell | Black-Scholes model |
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