Option Pricing with a Dynamic Fat-Tailed Model
Date
2013-03Link to item file
http://dx.doi.org/10.2139/ssrn.2031400Dewey
Economie financièreSujet
European-style option pricing; volatility smile; risk modelJEL code
C.C1.C13; C.C1.C16; G.G1.G13Conference name
62nd Annual Meeting of the Midwest Finance Association - MFA 2013 Annual MeetingConference date
03-2013Conference city
ChicagoConference country
United StatesCollections
Metadata
Show full item recordAuthor
Aboura, Sofiane
1032 Dauphine Recherches en Management [DRM]
Valeyre, Sébastien
Wagner, Niklas
233373 Passau University