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Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Student's t-Distribution Based Option Sensitivities Greeks the Gosset Formulae
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2010/10/18
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Stude...
Double Kernel estimation of sensitivities
Double Kernel estimation；sensitivities
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2010/11/2
Double Kernel estimation of sensitivities。