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~isPartOf:"Economics Papers from University Paris Dauphine"
~isPartOf:"Journal of Emerging Market Finance"
~isPartOf:"Temi di discussione (Economic working papers)"
~subject:"Implied volatility smile"
~subject:"volatility smile"
~type:"book"
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Implied volatility smile
volatility smile
European-style option pricing
2
GARCH model
2
Derivatives
1
Implied Volatility
1
L�vy processes
1
Monte Carlo simulations
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Option Pricing
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Options
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Risk model
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Volatility Smile
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Volatility smile
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filtered historical simulation
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non-Gaussian Ornstein-Uhlenbeck processes
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option pricing
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particle filter
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risk model
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stochastic volatility models
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tempered stable processes and distributions
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time-changed L�vy processes
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Aboura, Sofiane
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Bianchi, Michele Leonardo
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Fabozzi, Frank J.
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Rachev, Svetlozar T.
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Valeyre, Sébastien
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Wagner, Niklas
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Université Paris-Dauphine (Paris IX)
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Economics Papers from University Paris Dauphine
Journal of Emerging Market Finance
Temi di discussione (Economic working papers)
CoFE Discussion Paper
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Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick
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2000 Conference, April 17-18 2000, Chicago, Illinois
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
;
Rachev, …
-
Banca d'Italia
-
2014
time series and to fit the
volatility
smile
for exchange-traded options where the underlying is the main �Borsa Italianaï …
Persistent link: https://www.econbiz.de/10011099609
Saved in:
2
Option Pricing with a Dynamic Fat-Tailed Model
Aboura, Sofiane
;
Valeyre, Sébastien
;
Wagner, Niklas
-
Université Paris-Dauphine (Paris IX)
-
2013
model adequately fits the
volatility
smile
dynamics particularly during stress periods. Furthermore, we find that the …
Persistent link: https://www.econbiz.de/10010891139
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