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A numerical study of the smile effect in implied volatilities induced by a nonlinear feedback model

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  • M. E. Mancino
  • S. Ogawa
  • S. Sanfelici

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File URL: http://swrwebeco.econ.unipr.it/RePEc/pdf/IV_2004-01.pdf
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Bibliographic Info

Paper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2004-ME01.

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Length: 13 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:par:dipeco:2004-me01

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  1. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
  2. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992. "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 153-187.
  3. Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374.
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