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Found 311 Documents (Results 1–100)

Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate. (English) Zbl 1499.91168

Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 47-57 (2021).
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Implied volatility surface estimation via quantile regularization. (English) Zbl 1455.62204

Maciak, Matúš (ed.) et al., Analytical methods in statistics. AMISTAT. Proceedings of the workshop, Liberec, Czech Republic, September 16–19, 2019. Cham: Springer. Springer Proc. Math. Stat. 329, 73-87 (2020).
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