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20092018
most citedSmall-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

22 citations · 31 across the 6 of their papers we have counts for

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math.ST2017

Estimation of a noisy subordinated Brownian Motion via two-scales power variations

Jose E. Figueroa-Lopez, K. Lee

High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the t…