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~isPartOf:"International Journal of Financial Markets and Derivatives"
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On the implied volatility
layers
under the future risk-free rate uncertainty
Hin, Lin-Yee
;
Dokuchaev, Nikolai
- In:
International Journal of Financial Markets and Derivatives
3
(
2014
)
4
,
pp. 392-408
, leading to uncertainty in the volatility surface. We estimate the size of implied volatility
layers
between the surfaces …
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