Ajay Khanna

New York University (NYU)

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Scholarly Papers (1)

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Adjusting Exponential Lévy Models Toward the Simultaneous Calibration of Market Prices for Crash Cliquets

Journal of Computational Finance, 20(1), 89-111, DOI:10.21314/JCF.2016.309
Number of pages: 24 Posted: 28 Jul 2016
Peter Carr, Ajay Khanna and Dilip B. Madan
New York University Finance and Risk Engineering, New York University (NYU) and University of Maryland - Robert H. Smith School of Business
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Abstract:

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completely monotone function, Gauss Laguerre quadrature, gap risk pricing, beta exposure pricing, CGMY model, negative binomial process