Saddlepoint methods for option pricing (Q3639926)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint methods for option pricing |
scientific article |
Statements
Saddlepoint methods for option pricing (English)
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26 October 2009
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option pricing
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Lugannini-Rice approximation
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Black-Scholes model
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cumulant generating function
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