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Review of Derivatives Research

Issue 1/2017

Content (3 Articles)

Open Access

On the multiplicity of option prices under CEV with positive elasticity of variance

Dirk Veestraeten

Structural default model with mutual obligations

Andrey Itkin, Alexander Lipton

A bias in the volatility smile

Don M. Chance, Thomas A. Hanson, Weiping Li, Jayaram Muthuswamy

Oct 16
Issue: 3/2016
Jul 17
Issue: 2/2017

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