Tangent Lévy market models
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 16 (2012)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 207-218.
- Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 77-114.
- Rama Cont & Jose da Fonseca, 2002. "Dynamics of implied volatility surfaces," Quantitative Finance, Taylor and Francis Journals, vol. 2(1), pages 45-60.
- René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
- Jan Kallsen & Paul Kr\"uhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
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