Handing Sun

Durham Business School

Millhill Lane

Durham, Durham DH1 3LB

United Kingdom

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Econometric Identification of Foreign Exchange Options Volatility Surfaces Recovering Foreign Exchange Option Prices from Spot Price Dynamics

Number of pages: 63 Posted: 08 Nov 2016 Last Revised: 29 May 2017

Julian Cook, Dennis Philip, Handing Sun and Julian M. Williams

BGC Partners, Inc. - Fenics Software Limited, Durham University Business School, Durham Business School and Durham Business School

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