Sergey Nadtochiy

University of Michigan at Ann Arbor - Department of Mathematics

2074 East Hall

530 Church Street

Ann Arbor, MI 48109-1043

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Weak Reflection Principle for Levy Processes

Number of pages: 33 Posted: 18 Jul 2014
Erhan Bayraktar and Sergey Nadtochiy
University of Michigan at Ann Arbor - Department of Mathematics and University of Michigan at Ann Arbor - Department of Mathematics
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Abstract:

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Weak reflection principle, barrier options, static hedging, Levy processes

2.

Local Variance Gamma and Explicit Calibration to Option Prices

Mathematical Finance, Vol. 27, Issue 1, pp. 151-193, 2017
Number of pages: 43 Posted: 15 Jan 2017
Peter Carr and Sergey Nadtochiy
New York University Finance and Risk Engineering and University of Michigan at Ann Arbor - Department of Mathematics
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Abstract:

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exact calibration, implied smile, local variance gamma