Composite option pricing and the volatility surface construction
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DOI: 10.31737/22212264_2023_3_27-48
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References listed on IDEAS
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More about this item
Keywords
cross-asset; exotic option; GARCH; implied volatility; option pricing; implied correlation;All these keywords.
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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