A new factor to explain implied volatility smirk
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References listed on IDEAS
- Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.
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- repec:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9127-x is not listed on IDEAS
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- Fajardo, José, 2016. "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper 71813, University Library of Munich, Germany.
- repec:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0303-2 is not listed on IDEAS
More about this item
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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