Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969)
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scientific article; zbMATH DE number 1961851
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical assessment of an intertemporal option pricing model with latent variables. |
scientific article; zbMATH DE number 1961851 |
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Empirical assessment of an intertemporal option pricing model with latent variables. (English)
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7 August 2003
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Stochastic volatility
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Black-Scholes
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implied volatility
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Smile effect
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Equilibrium option pricing
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Recursive utility
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0.9038465
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0.87737715
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0.8767482
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0.87359995
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0.8698593
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0.8667029
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0.8607161
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0.8603078
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