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A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing
Free accessBASE | 2016| -
Analyzing model robustness via distortion of the stochastic root: A Dirichlet prior approach
Free accessBASE | 2016| -
A note on first-passage times of continuously time-changed Brownian motion
Free accessBASE | 2016| -
A note on the valuation of CDS options and extension risk in a structural model with jumps
Free accessBASE | 2017|
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