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Technical paper

Putting the smile back on the face of derivatives

Author: Paul McCloud

Source: Risk magazine | 07 Jan 2010

Categories: Derivatives

Topics: Volatility smile, Gaussian model, Equity derivatives, Fat tails, Implied volatility, Volatility

This article considers the exponential-quadratic Gaussian model, an extension of the familiar quadratic Gaussian model with application in the pricing...

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Putting the smile back on the face of derivatives

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