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- W564929247 abstract "The existence of market imperfections in the trade of various securities and financial derivatives is a known fact. For call options, several studies have shown that implied volatilities tend to differ across the option’s moneyness and time to expiration (Engstrom, 2001; MacBeth and Merville, 1979). Until today, no earlier study has examined volatility inconsistencies for warrants on the Swedish market. The aim of this report is to make such an investigation and to determine if call warrants exhibits the same behaviour as call options." @default.
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- W564929247 date "2002-01-01" @default.
- W564929247 modified "2023-09-27" @default.
- W564929247 title "Volatility Smiles on the Swedish Call Warrant Market" @default.
- W564929247 hasPublicationYear "2002" @default.
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