Log Student’st-distribution-based option sensitivities: Greeks for the Gosset formulae
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Publication:5397462
DOI10.1080/14697688.2012.744087zbMath1281.91153arXiv1003.1344OpenAlexW2030823765MaRDI QIDQ5397462
Michael J. Hamp, R. Ouyed, Daniel T. Cassidy
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.1344
stochastic volatilityoption pricingBlack-Scholes modelnon-Gaussian option pricingderivatives hedging
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