Volatility smiles when information is lagged in prices
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DOI: 10.1016/j.najef.2018.03.004
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- Lin, Chung-Gee & Chang, Chia-Chang, 2020. "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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More about this item
Keywords
Exchange option; Lagged; Volatility smile;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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