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scientific article
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scientific article

    Statements

    publication date
    20 October 2015
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    zbMATH Keywords
    time-dependent SABR
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    FX
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    calibration
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    effective parameters
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    local volatility
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    Monte Carlo
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    path-dependent
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    zbMATH DE Number
    6496532
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