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Keywords: Historical volatility
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (3): 583–600.
Published: 15 July 2019
... expression: CIR model Interest rate risk Black–Scholes model Historical volatility Implied volatility Risk capital cost It is well known that implied volatility (IV) and historical volatility (HV), which is also called realized volatility, have different behaviors. IV...
