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Geometric local variance gamma model
P. Carr, A. Itkin
Finance and Risk Engineering
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Business & Economics
Variance gamma
100%
Local Volatility
21%
Smile
19%
Differential Equations
10%
Brownian Motion
9%
Volatility Models
8%
Option Prices
7%
Optimization Problem
6%
Maturity
6%
Innovation
5%