On pricing options with stressed-beta in a reduced form model (Q2353840): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1007/s11147-014-9103-2 / rank
 
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Latest revision as of 11:26, 10 July 2024

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On pricing options with stressed-beta in a reduced form model
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    On pricing options with stressed-beta in a reduced form model (English)
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    9 July 2015
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    two-state beta
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    option pricing
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    European options
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    American options
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    quadratures
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    calibration
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