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Convergence of Heston to SVI
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Perturbation analysis of sub/super hedging problems
Badikov, Sergey
;
Davis, Mark H.A.
;
Jacquier, Antoine
- In:
Mathematical Finance
31
(
2021
)
4
,
pp. 1240-1274
Persistent link: https://www.econbiz.de/10012636229
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Pathwise moderate deviations for option pricing
Jacquier, Antoine
;
Spiliopoulos, Konstantinos
- In:
Mathematical Finance
30
(
2019
)
2
,
pp. 426-463
Persistent link: https://www.econbiz.de/10012192405
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