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~institution:"Center for Financial Studies"
~institution:"Université Paris-Dauphine"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~subject:"Currency Options"
~subject:"GARCH model"
~subject:"GARCH"
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Currency Options
GARCH model
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Implied Volatility
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Implied Volatility Skew
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Analogy Making
5
Implied Volatility Smile
5
Implied volatility
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implied volatility
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Siddiqi, Hammad
2
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Claessen, Holger
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Center for Financial Studies
Université Paris-Dauphine
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Banco de México
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Luxembourg School of Finance, Faculté de droit, d'économie et de finance
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Sveriges Riksbank
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Explaining the Smile in Currency Options: Is it Anchoring?
Siddiqi, Hammad
-
Volkswirtschaftliche Fakultät, …
-
2015
. Anchoring bias generates the
implied
volatility
smile if investors hold heterogeneous exchange rate expectations. …
Persistent link: https://www.econbiz.de/10011250911
Saved in:
2
Analogy Based Valuation of Currency Options
Siddiqi, Hammad
-
Volkswirtschaftliche Fakultät, …
-
2015
The two most intriguing anomalies in currency markets are: 1) the
implied
volatility
smile in currency options, and 2 …
Persistent link: https://www.econbiz.de/10011184598
Saved in:
3
GARCH option pricing under skew.
Aboura, Sofiane
-
Université Paris-Dauphine
-
2005
the change of regime in the
implied
volatility
surface. …
Persistent link: https://www.econbiz.de/10008520036
Saved in:
4
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger
;
Mittnik, Stefan
-
Center for Financial Studies
-
2002
implied-volatility
information, derived from contemporaneously observed option prices or history-based volatility predictors …
Persistent link: https://www.econbiz.de/10010958558
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