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]
@article{Volk-Makarewicz22,
title = {Assessing the impact of jumps in an option pricing model: A gradient estimation approach},
author = {Warren Volk-Makarewicz and Svetlana Borovkova and Bernd Heidergott},
year = {2022},
doi = {10.1016/j.ejor.2021.07.015},
url = {https://doi.org/10.1016/j.ejor.2021.07.015},
researchr = {https://researchr.org/publication/Volk-Makarewicz22},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {298},
number = {2},
pages = {740-751},
}