An analytical approximation for single barrier options under stochastic volatility models (Q1621902): Difference between revisions

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Latest revision as of 00:13, 11 December 2024

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An analytical approximation for single barrier options under stochastic volatility models
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    An analytical approximation for single barrier options under stochastic volatility models (English)
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    12 November 2018
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    single barrier option
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    analytical approximation
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    local and stochastic volatility models
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    Wiener-Itô chaos expansion
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