Alessandro Cesarini

Poste Italiane

Group Capital Management

Milan

Italy

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Scholarly Papers (1)

1.

Quanto Implied Volatility Smile

Number of pages: 21 Posted: 31 Jan 2014
Alessandro Cesarini and Stefano Giovannitti
Poste Italiane and UniCredit S.p.A.
Downloads 365 (93,991)
Citation 1

Abstract:

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quanto options, quanto implied volatility adjustment, quanto effect, market implied probability distribution, implied volatility extrapolation, Gaussian copula