PricingMixedTS

swMATH27442MaRDI QIDQ39158FDOQ39158

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Described by source

• Option pricing in an exponential mixedts Lévy process

Cited In (3)

• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Hilbert transform, spectral filters and option pricing
• VIX derivatives, hedging and vol-of-vol risk

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