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Local volatility of volatility for the VIX market
Drimus, Gabriel; Farkas, Walter - In: Review of derivatives research 16 (2013) 3, pp. 267-293
Persistent link: https://www.econbiz.de/10010222940
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A general closed form option pricing formula
Necula, Ciprian; Drimus, Gabriel; Farkas, Walter - In: Review of derivatives research 22 (2019) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10012311636