FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (Q2909517): Difference between revisions

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Latest revision as of 09:38, 30 July 2024

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FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS
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    FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (English)
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    30 August 2012
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    rational approximations
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    time-changed models
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    calibration
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    vanilla option pricing
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