W-shaped implied volatility curves and the Gaussian mixture model (Q6158420)
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scientific article; zbMATH DE number 7698397
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| English | W-shaped implied volatility curves and the Gaussian mixture model |
scientific article; zbMATH DE number 7698397 |
Statements
W-shaped implied volatility curves and the Gaussian mixture model (English)
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20 June 2023
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convexity
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risk-neutral density
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option pricing
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0.7510178089141846
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0.7237439155578613
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0.7222347259521484
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0.7221060991287231
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