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Tangent models as a mathematical framework for dynamic calibration
Carmona, René; Nadtochiy, Sergey - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10008908384
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Tangent Lévy market models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 16 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009423250
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Local variance gamma and explicit calibration to option prices
Carr, Peter; Nadtochiy, Sergey - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 151-193
Persistent link: https://www.econbiz.de/10011739451