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A bias in the volatility smile - MaRDI portal

A bias in the volatility smile (Q1621642)

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scientific article; zbMATH DE number 6975970
Language Label Description Also known as
English
A bias in the volatility smile
scientific article; zbMATH DE number 6975970

    Statements

    title
    A bias in the volatility smile (English)
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    author
    Y. Aharonov
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    publication date
    9 November 2018
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    zbMATH Keywords
    Black-Scholes-Merton model
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    option pricing
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    implied volatility
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    volatility
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    volatility smile
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    computational finance
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    algorithmic finance
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    options
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    describes a project that uses
    fOptions
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    Rmpfr
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    Identifiers

    zbMATH DE Number
    6975970
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    OpenAlex ID
    W2432255368
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