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Why do we smile? On the determinants of the implied volatility function

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  • Pena, Ignacio
  • Rubio, Gonzalo
  • Serna, Gregorio

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  • Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
    • Handle: RePEc:eee:jbfina:v:23:y:1999:i:8:p:1151-1179
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    29. Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
    30. Lehmann, Bruce N & Modest, David M, 1994. "Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View," Journal of Finance, American Finance Association, vol. 49(3), pages 951-984, July.
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