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Local Variance Gamma And Explicit Calibration To Option Prices
dc.contributor.authorCarr, Peter
dc.contributor.authorNadtochiy, Sergey
dc.date.accessioned2017-02-02T22:01:42Z
dc.date.available2018-03-01T16:43:51Zen
dc.date.issued2017-01
dc.identifier.citationCarr, Peter; Nadtochiy, Sergey (2017). "Local Variance Gamma And Explicit Calibration To Option Prices." Mathematical Finance 27(1): 151-193.
dc.identifier.issn0960-1627
dc.identifier.issn1467-9965
dc.identifier.urihttps://hdl.handle.net/2027.42/136026
dc.publisherWiley Periodicals, Inc.
dc.publisherCambridge University Press
dc.subject.otherimplied smile
dc.subject.otherexact calibration
dc.subject.otherlocal variance gamma
dc.titleLocal Variance Gamma And Explicit Calibration To Option Prices
dc.typeArticleen_US
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbsecondlevelFinance
dc.subject.hlbtoplevelScience
dc.subject.hlbtoplevelBusiness and Economics
dc.description.peerreviewedPeer Reviewed
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/136026/1/mafi12086.pdf
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/136026/2/mafi12086_am.pdf
dc.identifier.doi10.1111/mafi.12086
dc.identifier.sourceMathematical Finance
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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