Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
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Keywordsderivatives pricing; stochastic volatility; Fourier inversion;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-FMK-2000-11-14 (Financial Markets)
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