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Simulation of implied volatility surfaces via tangent Lévy models. (English) Zbl 1410.91478

MSC:
91G60 Numerical methods (including Monte Carlo methods)
91G20 Derivative securities (option pricing, hedging, etc.)
91G70 Statistical methods; risk measures
91G10 Portfolio theory
65C05 Monte Carlo methods
60G51 Processes with independent increments; Lévy processes
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