LIBROS DEL AUTOR: guan jun wang

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  • Option Implied Volatility
    Guan Jun Wang
    The volatility smile phenomenon appears to violate the Black-Scholes model and has puzzled numerous scholars. This book uses the relation between the option vega and its moneyness to rigorously demonstrate that the price error alone can produce a smile phenomenon even if the Black-Scholes model is correct. The smile phenomenon makes it unclear which implied volatility provides ...
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    60,01 €