Interpreting the volatility smile: an examination of the information content of option prices
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, Elsevier.
- Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012. "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 203-229, March.
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More about this item
KeywordsRisk management ; Asset-liability management;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-10 (All new papers)
- NEP-ETS-2001-09-10 (Econometric Time Series)
- NEP-FMK-2001-09-10 (Financial Markets)
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