Gabriel G. Drimus

Available identifiers

zbMath Open drimus.gabriel-gMaRDI QIDQ244005

List of research outcomes

Publication	Date of Publication	Type
A general closed form option pricing formula	2019-06-03	Paper
Options on realized variance in log-OU models	2017-10-05	Paper
Options on realized variance by transform methods: a non-affine stochastic volatility model	2014-01-30	Paper
Smooth and bid-offer compliant volatility surfaces under general dividend streams	2014-01-23	Paper
Local volatility of volatility for the VIX market	2013-12-02	Paper
Closed-form convexity and cross-convexity adjustments for Heston prices	2013-06-27	Paper
A forward started jump-diffusion model and pricing of cliquet style exotics	2010-09-16	Paper

Research outcomes over time

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