A bias in the volatility smile

Author:

Chance Don M.,Hanson Thomas A.,Li Weiping,Muthuswamy Jayaram

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Reference53 articles.

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2. Bakshi, G., Cao, C., & Chen, Z. (1997). Empirical performance of alternative option pricing models. The Journal of Finance, 52, 2003–2049.

3. Barnett, W., Serletis, A., & Serletis, D. (2006). Nonlinear and complex dynamics in real systems. International Journal of Nonlinear Science and Numerical Simulation, 7, 191–196.

4. Bates, D. (1991). The crash of ’87: Was it expected? The evidence from options markets. The Journal of Finance, 46, 1009–1044.

5. Bharadia, M., Christofides, N., & Salkin, G. (1996). Computing the Black–Scholes–Merton implied volatility. Advances in Futures and Options Research, 8, 15–29.

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