منابع مشابه
Local Variance Gamma and Explicit Calibration to Option Prices
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such model to match the market prices of European options of multiple strikes a...
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ژورنال
عنوان ژورنال: The Journal of Derivatives
سال: 2019
ISSN: 1074-1240,2168-8524
DOI: 10.3905/jod.2019.1.084