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most citedOption Pricing Formulas based on a non-Gaussian Stock Price Model

276 citations · 600 across the 11 of their papers we have counts for

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q-fin.ST2009★ 3 cited

Statistical Signatures in Times of Panic: Markets as a Self-Organizing System

Lisa Borland

We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is…