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Artur Sepp


University of Tartu

自 2015 起处于活动状态

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Log-Normal Stochastic Volatility Model: Moment Generating Function and Pricing of Vanilla Options
Compute option prices under log-normal stochastic volatility model and calibrate model parameters

8 years 前 | 1 次下载 |

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SimulationOfDeltaHedgingStrategy
Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs

9 years 前 | 2 次下载 |

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Log-Normal Stochastic Volatility Model: Pricing of Vanilla Options and Econometric Estimation
Implementation of the econometric estimation of the log-normal stochastic volatility model

9 years 前 | 2 次下载 |