The prices obtained from the standard Black-Scholes model differ significantly from observed prices These systematic valuation errors are documented in a stylized fact, the “volatility smile” effect These empirical biases reflect the fact that in realit
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    Abstract:

    The prices obtained from the standard Black-Scholes model differ significantly from observed prices These systematic valuation errors are documented in a stylized fact, the “volatility smile” effect These empirical biases reflect the fact that in realit

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唐勇,陈继祥.基于时变波动率的期权定价模型实证研究[J].重庆大学学报社会科学版,2009,15(3):34~39

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  • Received:February 20,2009
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