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Les modèles de volatilité et d'options


  • Sofiane Aboura

    () (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres - CNRS - Centre National de la Recherche Scientifique)


Cet ouvrage présente et simule les principaux modèles de volatilité et d'évaluation d'options standards avec une discussion essentiellement centrée autour du smile de volatilité. Le premier chapitre permet d'aborder les modèles de volatilité locale et implicite. Le second chapitre se consacre aux principales évolutions dans l'évaluation des modèles d'options standards.

Suggested Citation

  • Sofiane Aboura, 2006. "Les modèles de volatilité et d'options," Post-Print halshs-00161680, HAL.
  • Handle: RePEc:hal:journl:halshs-00161680
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