Local Variance Gamma and Explicit Calibration to Option Prices
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References listed on IDEAS
- Rubinstein, Mark, 1994. " Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
- Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
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- Noble, John M., 2015. "Time homogeneous diffusion with drift and killing to meet a given marginal," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1500-1540.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-16 (All new papers)
- NEP-FMK-2013-08-16 (Financial Markets)
- NEP-SPO-2013-08-16 (Sports & Economics)
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