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ARCH
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currency options
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term structure of volatility
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Avellaneda, Marco
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Zhu, Yingzi
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Applied Mathematical Finance
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An
E-ARCH
model for the term structure of implied volatility of FX options
Zhu, Yingzi
;
Avellaneda, Marco
- In:
Applied Mathematical Finance
4
(
1997
)
2
,
pp. 81-100
construct an exponential ARCH, or
E-ARCH
, model for each state variable. One of the applications of this model is to produce …
Persistent link: https://www.econbiz.de/10009279105
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