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Volatility risk structure for options depending on extrema
Tomonori Nakatsu
Department of Mathematical Sciences
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Mathematics
Vega
Black-Scholes Model
Volatility
Extremum
Stock Prices
Standard Model
Diffusion Process
Elasticity
Calculate
Perturbation
Decompose
Business & Economics
Vega
Volatility Risk
Black-Scholes Model
Elasticity
Perturbation
Diffusion Process
Decomposition
Stock Prices
Engineering & Materials Science
Elasticity
Decomposition