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An Expanded Local Variance Gamma Model
P. Carr, A. Itkin
Finance and Risk Engineering
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Business & Economics
Variance gamma
100%
Calibration
70%
Local Volatility
64%
Smile
59%
Hypergeometric Functions
38%
Differential Equations
30%
Volatility Models
26%
Option Prices
23%
Optimization Problem
20%
Maturity
19%
Engineering & Materials Science
Calibration
39%
Nonlinear equations
18%
Ordinary differential equations
18%