Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
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References listed on IDEAS
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More about this item
KeywordsOption pricing; volatility frowns; thin-tails; generalized Student t.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-08-08 (All new papers)
- NEP-ECM-2002-08-10 (Econometrics)
- NEP-ETS-2002-08-08 (Econometric Time Series)
- NEP-FIN-2002-08-08 (Finance)
- NEP-IFN-2002-08-08 (International Finance)
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