Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility
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Publication:4635252
DOI10.1137/17M1111292zbMath1408.91213arXiv1608.07863OpenAlexW2963275658WikidataQ115525619 ScholiaQ115525619MaRDI QIDQ4635252
José E. Figueroa-López, Matthew Lorig, Ruoting Gong
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.07863
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Cites Work
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