Exact volatility calibration based on a Dupire-type Call–Put duality for perpetual American options
Work
Year: 2009
Type: article
Authors Aurélien Alfonsi, Benjamin Jourdain
Institution Université Paris Cité
Cites: 19
Cited by: 8
Related to: 10
FWCI: 2.113
Citation percentile (by year/subfield): 66.59
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze