CTMC integral equation method for American options under stochastic local volatility models (Q2246620): Difference between revisions

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Latest revision as of 04:42, 27 July 2024

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CTMC integral equation method for American options under stochastic local volatility models
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    CTMC integral equation method for American options under stochastic local volatility models (English)
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    16 November 2021
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    continuous-time Markov chains
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    stochastic local volatility models
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    American option pricing
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    early exercise premium
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    integral equation
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