Assessing the impact of jumps in an option pricing model: A gradient estimation approach

Warren Volk-Makarewicz, Svetlana Borovkova, Bernd Heidergott. Assessing the impact of jumps in an option pricing model: A gradient estimation approach. European Journal of Operational Research, 298(2):740-751, 2022. [doi]

Authors

Warren Volk-Makarewicz

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Svetlana Borovkova

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Bernd Heidergott

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