On volatility smile and an investment strategy with out-of-the-money calls
Author:
Funder
Väisälä Foundation
Suomen Kulttuurirahasto
Suomen Akatemia
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11579-015-0152-6.pdf
Reference34 articles.
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2. Balbas, A., Balbas, R.: Compatibility between pricing rules and risk measures: the CCVaR. RACSAM Rev. R. Acad. Cien. Serie A. Mat. 103, 251–264 (2009)
3. Benninga, S., Mayshar, J.: Heterogeneity and option pricing. Rev. Deriv. Res. 4, 7–27 (2000)
4. Bick, A.: On the consistency of the black-scholes model with a general equilibrium framework. J. Financ. Quant. Anal. 22, 259–275 (1987)
5. Björk, T.: Arbitrage Theory in Continuous Time. Oxford University Press, Oxford (2004)
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