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- W1489749006 abstract "We develop a complete-markets model with volatility smiles, tractability, and intuitive appeal as an anchoring or habit-formation model. Like traditional stochastic volatility models, it is invariant to a multiplicative scaling of the stock price levels. The anchoring effect is that the volatility depends on the relative value of the current stock price compared to its past history, with an exponential weighting." @default.
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- W1489749006 date "2014-09-01" @default.
- W1489749006 modified "2023-09-25" @default.
- W1489749006 title "Modeling Volatility and Valuing Derivatives Under Anchoring" @default.
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- W1489749006 doi "https://doi.org/10.1002/wilm.10366" @default.
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