Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Year of publication: |
November 2015
|
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Authors: | Bernales, Alejandro ; Guidolin, Massimo |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 26.2015, p. 1-37
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Subject: | Option pricing | Rational learning | Bayesian updating | Implied volatility | Predictability | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Lernprozess | Learning process | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Rationalität | Rationality | Rationale Erwartung | Rational expectations | Derivat | Derivative | Schätzung | Estimation |
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