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Keywords: SNP
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2007) 15 (1): 135–165.
Published: 31 May 2007
... to estimate the parameters of option pricing kernel. The SNP distribution of the implied volatility contains AR (2) and ARCH effects, and the skewness of the distribution is much higher than normal distribution. The distribution has thinner left tail and fatter right tail than normal distribution, which...
