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Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe
;
Muguruza, Aitor
;
Stone, Henry
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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2
Short maturity conditional Asian options in local volatility models
Yao, Nian
;
Ling, Zhichao
;
Zhang, Jieyu
;
Xiao, Mingqing
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10012240287
Saved in:
3
Black-Scholes in a CEV random environment
Jacquier, Antoine
;
Roome, Patrick
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
Saved in:
4
An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir
;
Pichler, Alois
- In:
Mathematics and financial economics
11
(
2017
)
4
,
pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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