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~isPartOf:"International journal of theoretical and applied finance"
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Option pricing theory
467
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Levendorskij, Sergej Z.
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International journal of theoretical and applied finance
Journal of economic behavior & organization : JEBO
1,513
NBER working paper series
1,153
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1,067
Working paper / National Bureau of Economic Research, Inc.
952
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944
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
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1
Asymptotics for exponential Lévy processes and their
volatility
smile : survey and new results
Andersen, Leif B. G.
;
Lipton, Alexander
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
Saved in:
2
Semi-static hedging of barrier options under poisson jumps
Carr, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
Saved in:
3
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya
;
Bojarčenko, Svetlana I.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
Saved in:
4
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
Saved in:
5
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
6
Option pricing via maximization over uncertainty and correction of
volatility
smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
Saved in:
7
Nearly exact option price simulation using characteristic functions
Bernard, Carole
;
Cui, Zhenyu
;
McLeish, Don L.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
Saved in:
8
Short-time implied
volatility
in exponential Lévy models
Ekström, Erik
;
Lu, Bing
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011403775
Saved in:
9
Closed-form approximation of perpetual timer option prices
Li, Minqiang
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010391503
Saved in:
10
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
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