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Options / Investment / Stochastic volatility / Volatility / Implied volatility / Black–Scholes / Financial risk / Local volatility / VIX / Mathematical finance / Financial economics / Finance


Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities Alexander David Board of Governors of the Federal Reserve System
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Document Date: 2001-09-12 18:02:00

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File Size: 654,24 KB

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City

Washington D.C. / Chicago / /

Company

Annual Derivatives Securities / /

Currency

pence / /

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Event

Dividend Issuance / /

Facility

Boston University / Business University of Chicago This Version / University of Chicago / /

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IndustryTerm

explicit analytical solution / incomplete accounting information / closed form solution / /

MarketIndex

S&P 500 / /

Organization

Graduate School / Business University / Carnegie Mellon / Chicago / University of Chicago / Board of Governors of the Federal Reserve System / Stanford / Stockholm / US Federal Reserve / INSEAD / Dimensional Fund Advisors Research Fund / London Business School / Federal Reserve Board / Implied Volatilities Alexander David Board of Governors / Boston University / /

Person

Gary Anderson / Rick Green / Yubo Wang / Alexander David / Gabrielle Demange / Hong Yan / Jim Hamilton / Darrell Du / See Bakshi / Frank Knight / John Cochrane / George Constantinides / /

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Position

Governor / model / Cao / /

Product

Fourier Transforms / /

ProgrammingLanguage

Mathematica / /

ProvinceOrState

Illinois / Washington / /

SocialTag