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Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
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Introducing two mixing fractions to a lognormal local-stochastic volatility model
Lee, Geoffrey
;
Owens, Bowie
;
Zhu, Zili
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 41-58
Persistent link: https://www.econbiz.de/10012543634
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