W-Shaped Implied Volatility Curves and the Gaussian Mixture Model
Year of publication: |
[2022]
|
---|---|
Authors: | Glasserman, Paul ; Pirjol, Dan |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (34 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 27, 2021 erstellt |
Other identifiers: | 10.2139/ssrn.3951426 [DOI] |
Classification: | C02 - Mathematical Methods ; C63 - Computational Techniques ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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