Probability-Free Models in Option Pricing: Statistically Indistinguishable Dynamics and Historical vs Implied Volatility
In: Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference
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- Damiano Brigo, 2019. "Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility," Papers 1904.01889, arXiv.org, revised Aug 2021.
References listed on IDEAS
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More about this item
Keywords
Options; Call; Put; Stock; Equity; Bond; Debt; Dividend; Investment; Diversification; Volatility; Black–Scholes; Merton Model; Stochastic; Swap; Commodity; Index; Contingent Claims; Exotic Option;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G1 - Financial Economics - - General Financial Markets
- C - Mathematical and Quantitative Methods
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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