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Option market-making and vol arbitrage. The agent’s view is factored in to a realised-vs-implied vol model

Year: 2025

Type: article

Source: UCL Discovery (University College London)

Authors: Lucic, Vladimir, Tse, Alex

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W6986175987

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