Eben Mare

Independent

No Address Available

United States

SCHOLARLY PAPERS

2

DOWNLOADS

358

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem

Number of pages: 27 Posted: 04 Aug 2016
Emlyn James Flint and Eben Mare
Legae Peresec and Independent
Downloads 181 (175,038)
Citation 1

Abstract:

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option-implied distributions, SVI volatility model, Ross Recovery, Tikhonov regularization, Illiquid markets, tactical asset allocation

2.

Fractional Black-Scholes Option Pricing, Volatility Calibration and Implied Hurst Exponents

Number of pages: 22 Posted: 13 Jun 2016
Emlyn James Flint and Eben Mare
Legae Peresec and Independent
Downloads 177 (178,474)
Citation 1

Abstract:

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Fractional brownian motion, Hurst exponent, implied volatility calibration, implied volatility surface