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"Kernel Estimation of the Greeks for Options with Discontinuous Payoffs."

Guangwu Liu, L. Jeff Hong (2011)

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DOI: 10.1287/OPRE.1100.0844

access: closed

type: Journal Article

metadata version: 2020-03-31

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Guangwu Liu, L. Jeff Hong:
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs. Oper. Res. 59(1): 96-108 (2011)

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