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Johannes, Stolte ; Martijn, Pistorius. (2012) Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations.
In: Papers. RePEc:arx:papers:1203.6899.

Full description at Econpapers

cites:

P. Jackel. By Implication. Wilmott, 26:60â66, 2006. FAST COMPUTATION OF VANILLA OPTIONS AND IMPLIED VOLATILITIES 27

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