Tangent Lévy market models
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sergey Nadtochiy & Jan Obloj, 2016. "Robust Trading of Implied Skew," Papers 1611.05518, arXiv.org.
- Fred Espen Benth & Paul Kruhner, 2014. "Representation of infinite dimensional forward price models in commodity markets," Papers 1403.4111, arXiv.org.
- repec:wsi:ijtafx:v:20:y:2017:i:02:n:s021902491750008x is not listed on IDEAS
- repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6 is not listed on IDEAS
- Jan Kallsen & Paul Kruhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
- Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
More about this item
KeywordsImplied volatility surface; Tangent models; Lévy processes; Market models; Arbitrage-free term structure dynamics; Heath–Jarrow–Morton theory; 91B24; C02; G12; G13;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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