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scientific article; zbMATH DE number 6429539
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English
A chaos expansion approach under hybrid volatility models
scientific article; zbMATH DE number 6429539

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    A chaos expansion approach under hybrid volatility models (English)
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    23 April 2015
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    hybrid stochastic and local volatility model
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    Wiener-Ito chaos expansion
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    Hermite polynomial
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    successive substitution
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    smile and skew
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    Black-Scholes model
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