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Persistent link: https://www.econbiz.de/10005652746
State price densities (SPD) are an important element in applied quantitative finance. In a Black-Scholes model they are lognormal distributions with constant volatility parameter. In practice volatility changes and the distribution deviates from log-normality. We estimate SPDs using EUREX option...
Persistent link: https://www.econbiz.de/10005677900