"Anomalous Diffusions in Option Prices: Connecting Trade Duration and the ..."

Antoine Jacquier, Lorenzo Torricelli (2020)

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DOI: 10.1137/19M1289832

access: closed

type: Journal Article

metadata version: 2021-01-09

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Antoine Jacquier, Lorenzo Torricelli:
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure. SIAM J. Financial Math. 11(4): 1137-1167 (2020)

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