THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 753, doi. 10.1111/j.1467-9965.2011.00483.x
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2012 AND VI 22 AND IP 4
Results: 9
1
2
MODIFIED LELAND'S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 741, doi. 10.1111/j.1467-9965.2011.00498.x
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- Article
3
ON THE DYBVIG-INGERSOLL-ROSS THEOREM.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 729, doi. 10.1111/j.1467-9965.2011.00476.x
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- Publication type:
- Article
4
THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY-TAILED RISK FACTORS.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 710, doi. 10.1111/j.1467-9965.2011.00482.x
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- Publication type:
- Article
5
POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 690, doi. 10.1111/j.1467-9965.2011.00480.x
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- Publication type:
- Article
6
ANALYTIC APPROXIMATIONS FOR MULTI-ASSET OPTION PRICING.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 667, doi. 10.1111/j.1467-9965.2011.00481.x
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- Publication type:
- Article
7
PERPETUAL CANCELLABLE AMERICAN CALL OPTION.
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- Mathematical Finance, 2012, v. 22, n. 4, p. 645, doi. 10.1111/j.1467-9965.2011.00479.x
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- Publication type:
- Article
8
GRAPHICAL MODELS FOR CORRELATED DEFAULTS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 621, doi. 10.1111/j.1467-9965.2011.00499.x
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- Publication type:
- Article
9
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS.
- Published in:
- Mathematical Finance, 2012, v. 22, n. 4, p. 591, doi. 10.1111/j.1467-9965.2010.00472.x
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- Publication type:
- Article