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Items where Author is "Ouellette, M. S."

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Article

Recchioni, C., Iori, G. ORCID: 0000-0001-9443-9353, Tedeschi, G. and Ouellette, M. S. (2020). The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications. European Journal of Operational Research, doi: 10.1016/j.ejor.2020.11.050

Working Paper

Recchioni, M. C., Tedeschi, G., Ouellette, M. S. and Iori, G. ORCID: 0000-0001-9443-9353 (2019). Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model. City, University of London.

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