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The role of information in a two-traders market

✍ Scribed by Bagarello, F.; Haven, E.

Book ID
125461907
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
476 KB
Volume
404
Category
Article
ISSN
0378-4371

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✍ Sol Kim πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 155 KB

## Abstract This study focuses on the usefulness of the traders' rules to predict future implied volatilities for pricing and hedging KOSPI 200 index options. There are two versions of this approach. In the β€œrelative smile” approach, the implied volatility skew is treated as a fixed function of mon