The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options

Bruce Mizrach ()

Departmental Working Papers from Rutgers University, Department of Economics

Keywords: ERM; implied probabilities; options; volatility smile (search for similar items in EconPapers)
JEL-codes: F31 G13 (search for similar items in EconPapers)
Date: Written 1997-04-08

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