Simulation of Implied Volatility Surfaces via Tangent Lévy Models

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Publication:5266358

DOI10.1137/15M1015510zbMath1410.91478arXiv1504.00334OpenAlexW1670043891MaRDI QIDQ5266358

Sergey Nadtochiy, Yi Ma, René A. Carmona

Publication date: 2 June 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.00334




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