Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options
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- Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
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Keywords
exotic options; JSE; Can-Do options; implied volatility; local volatility; dupire transforms; gyöngy theorem; calibration; deterministic volatility function;All these keywords.
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