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~isPartOf:"Asia-Pacific Financial Markets"
~isPartOf:"Journal of Emerging Market Finance"
~subject:"Implied volatility smile"
~subject:"excess kurtosis and skewness"
~subject:"volatility smile"
~type:"article"
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Implied volatility smile
excess kurtosis and skewness
volatility smile
Characteristic function
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Markov chain
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Option prices
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Almeida, Caio Ibsen Rodrigues de
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Dana, Samy
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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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
Saved in:
2
Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging
Yamada, Yuji
;
Primbs, James
- In:
Asia-Pacific Financial Markets
11
(
2004
)
3
,
pp. 335-365
Persistent link: https://www.econbiz.de/10005075680
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