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Spiking the Volatility Punch
Peter Carr, Gianna Figà-Talamanca
Finance and Risk Engineering
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peer-review
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Keyphrases
Punching
100%
Volatility
100%
S&P 500
100%
Exchange-traded Funds
66%
Finite Difference Method
33%
Theoretical Formula
33%
American-style
33%
Approximation Formula
33%
Merton
33%
Dividends
33%
Volatility Index
33%
European Style
33%
Early Exercise Premium
33%
Dividend Yield
33%
VIX Index
33%
U.S. Interest Rate
33%
Mathematics
Finite Difference Method
100%
Day Horizon
100%
Economics, Econometrics and Finance
Volatility
100%
Index Derivative
66%