New Approximations in Local Volatility Models
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Publication:4561938
DOI10.1007/978-3-319-02069-3_14zbMath1418.91598OpenAlexW1849257293MaRDI QIDQ4561938
Abbas Suleiman, Emmanuel Gobet
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_14
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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