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~institution:"Agricultural and Applied Economics Association - AAEA"
~institution:"Center for Financial Studies"
~institution:"Université Paris-Dauphine"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~subject:"Black Scholes"
~subject:"Instability test"
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implied volatility
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Chevallier, Julien
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Siddiqi, Hammad
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Agricultural and Applied Economics Association - AAEA
Center for Financial Studies
Université Paris-Dauphine
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Université Paris-Dauphine (Paris IX)
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Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
Siddiqi, Hammad
-
Volkswirtschaftliche Fakultät, …
-
2013
formula,called the analogy option pricing formula, provides a new explanation for the
implied
volatility
skew puzzle in equity …
Persistent link: https://www.econbiz.de/10011109273
Saved in:
2
Detecting instability in the volatility of carbon prices.
Chevallier, Julien
-
Université Paris-Dauphine
-
2011
measures of volatility for European Union Allowances, based on daily data (EGARCH model), option prices (
implied
volatility
…
Persistent link: https://www.econbiz.de/10008725852
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