Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
A remark on Gatheral's 'most-likely path approximation' of implied volatility
Affine processes are regular
Affine processes on symmetric cones
Asymptotic and Exact Pricing of Options on Variance
Convex order properties of discrete realized variance and applications to variance options
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