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SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED
VARGAS, VINCENT, DAO, TUNG-LAM, BOUCHAUD, JEAN-PHILIPPEVolume:
18
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024915500223
Date:
June, 2015
File:
PDF, 580 KB
2015