On implied volatility for options -- some reasons to smile and more to correct
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Publication:2512634
DOI10.1016/j.jeconom.2013.10.007zbMath1293.91193OpenAlexW2071907379MaRDI QIDQ2512634
Publication date: 7 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.10.007
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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