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21 Pith papers cite this work, alongside 805 external citations. Polarity classification is still indexing.

21 Pith papers citing it
805 external citations · OpenAlex

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Non-Spanning Identification of Scheduled Event Risk in Option Pricing

q-fin.PR · 2026-06-11 · unverdicted · novelty 7.0

Non-spanning expiries identify the no-event volatility surface while event-spanning quotes calibrate deterministic-time jumps, yielding better held-out pricing for SPX options around macro events than surface-absorbing or amortized alternatives.

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Showing 21 of 21 citing papers.