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~accessRights:"restricted"
~person:"Almeida, Caio Ibsen Rodrigues de"
~subject:"stochastic volatility"
~subject:"volatility smile"
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stochastic volatility
volatility smile
Option prices
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mean reversion
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Almeida, Caio Ibsen Rodrigues de
Agarwalla, Sobhesh Kumar
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Kim, Sol
2
Martini, Claude
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Primbs, James
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Varma, Jayanth Rama
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Yamada, Yuji
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Journal of Emerging Market Finance
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Stochastic Volatility and Option Pricing in the Brazilian Stock Marke
Almeida, Caio Ibsen Rodrigues de
;
Dana, Samy
- In:
Journal of Emerging Market Finance
4
(
2005
)
2
,
pp. 169-206
volatility process to end up with a parsimonious way of capturing the
volatility
smile
implied by close to the money options. In …
Persistent link: https://www.econbiz.de/10010772803
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