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20142026
most citedPrecise asymptotics: robust stochastic volatility models

32 citations · 46 across the 17 of their papers we have counts for

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q-fin.CP2026

Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets

Federico Aluigi, Lucia Caramellino, Paolo Pigato +1

The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options ma…