Sato processes and the valuation of structured products

By Ernst Eberlein, Dilip B Madan 5. 2009

52 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/796d8639ab298fbae82c3b9b3bf9df48f488488b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Gabriel G. Drimus
2. Andrew Papanicolaou
3. Ronnie Sircar

In Finance

1. Gabriel G. Drimus
2. Ronnie Sircar
3. Andrew Papanicolaou

Citations in the corpus

• Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, background): “Many practical aspects relevant to variance and volatility markets are discussed by Bergomi (2005, 2008), Gatheral (2006) and Eberlein and Madan (2009).”