The following pages link to Gabriel G. Drimus (Q244005):
Displayed 8 items.
- (Q385647) (redirect page) (← links)
- Local volatility of volatility for the VIX market (Q385648) (← links)
- A general closed form option pricing formula (Q2418424) (← links)
- Smooth and bid-offer compliant volatility surfaces under general dividend streams (Q2871432) (← links)
- Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
- Options on Realized Variance in Log-OU Models (Q5363229) (← links)
- Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637) (← links)
- A forward started jump-diffusion model and pricing of cliquet style exotics (Q5962132) (← links)