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~isPartOf:"Applied mathematical finance"
~person:"Gerhart, Christoph"
~person:"Gong, Ruoting"
~subject:"Stochastic process"
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Stochastic process
Option pricing theory
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close-to-the-money option pricing
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Gerhart, Christoph
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Applied mathematical finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
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A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
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2
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
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