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Browsing by Author "Fairbrother, Mark"

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Markov-Switching models and resultant equity implied volatility surfaces: a South African application

Author: Fairbrother, Mark Date: 2012 Standard Geometric Brownian Motion is the stock model underlying Black-Scholes famous option pricing formula. There are however numerous problems with this stock model as certain features do not follow some empirical stylised facts we see ... Read more

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