A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833)
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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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