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Presentations at an Academic or Professional conference (1996)

Etude de la loi statistique de la volatilité

Volatility is the main factor to determine option prices. This parameter is not constant but varies through time, a property which complicates the pricing and hedging of derivative products. New options - options on volatility - have been studied by academics and considered for trading by Exchanges. In this paper I study the statistical behavior of volatility per se.

LONGIN, F. (1996). Etude de la loi statistique de la volatilité.