A sharp approximation for ATM-forward option prices and implied volatilites
Year of publication: |
March 2016
|
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Authors: | Stefanica, Dan ; Radoičić, Radoš |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-24
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Subject: | Implied volatility | ATM-forward options | Black-Scholes formula | approximation error bounds | Experiment | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
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