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Search: subject:"Volatility skews"
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Volatility skews
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volatility skews
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Valuation of vix derivatives
Mencía, Javier
;
Sentana, Enrique
-
Banco de España
-
2012
, and analyse their pricing performance, and implications for term structures of VIX futures and
volatility
«
skews
». We find …
Persistent link: https://www.econbiz.de/10010678691
Saved in:
2
VALUATION OF VIX DERIVATIVES
Mencía, Javier
;
Sentana, Enrique
-
Centro de Estudios Monetarios y Financieros (CEMFI)
-
2009
option
volatility
"
skews
". We find that a model combining central tendency and stochastic volatility is required to reliably …
Persistent link: https://www.econbiz.de/10008513288
Saved in:
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