Smiles \& smirks: volatility and leverage by jumps
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Publication:2076900
DOI10.1016/j.ejor.2021.08.023zbMath1490.91208OpenAlexW3193853914MaRDI QIDQ2076900
Publication date: 22 February 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.08.023
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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