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~isPartOf:"Journal of Economic Dynamics and Control"
~person:"Gikhman, Ilya I."
~person:"Leippold, Markus"
~person:"Waltman, Waltman, L."
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Affine jump diffusion
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VIX option pricing
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Gikhman, Ilya I.
Leippold, Markus
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Chen, Wen-Ting
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Journal of Economic Dynamics and Control
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A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
Cheng, Jun
;
Ibraimi, Meriton
;
Leippold, Markus
;
Zhang, …
- In:
Journal of Economic Dynamics and Control
36
(
2012
)
5
,
pp. 708-715
options
in general and the error can become substantially large. …
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