The Term Structure of Implied Volatility
In: Option Valuation under Stochastic Volatility
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Keywordsoption pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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