Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Computational Economics, March 2018, Volume 51, Issue 3, pp 339–378

Author(s):

Michele Leonardo Bianchi

Regulation and Macroprudential Analysis Directorate, Bank of Italy

Svetlozar T. Rachev

Department of Applied Mathematics and Statistics, College of Business, Stony Brook University, USA

Frank J. Fabozzi

EDHEC Business School, Nice, France

Computational Economics, March 2018, Volume 51, Issue 3, pp 339–378

Type: Academic publication
Date: le 04/04/2018
Source : Computational Economics

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