A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833): Difference between revisions

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Latest revision as of 00:48, 29 August 2024

scientific article; zbMATH DE number 6915869
Language Label Description Also known as
English
A General Valuation Framework for SABR and Stochastic Local Volatility Models
scientific article; zbMATH DE number 6915869

    Statements

    A General Valuation Framework for SABR and Stochastic Local Volatility Models (English)
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    10 August 2018
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    SABR
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    stochastic local volatility
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    quadratic local volatility
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    continuous-time Markov chains
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    exotic options
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    American options
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    Asian options
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    option pricing
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    CTMC
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    occupation time derivatives
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    barrier options
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