Volatility smiles when information is lagged in prices
Year of publication: |
2018
|
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Authors: | Marcato, Gianluca ; Sebehela, Tumellano ; Campani, Carlos Heitor |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 46.2018, p. 151-165
|
Subject: | Exchange option | Lagged | Volatility smile | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Lag-Modell | Lag model | Optionsgeschäft | Option trading | Wechselkurs | Exchange rate | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process |
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