Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Year of publication: |
2011
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Authors: | Liu, Guangwu ; Hong, L. Jeff |
Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 59.2011, 1, p. 96-109
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