EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186)

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EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
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    EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (English)
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    11 August 2010
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    local volatility model
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    European options
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    asymptotic expansions
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    small diffusion process
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    CEV model
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    Taylor expansion
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    second and third order approximation
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    Dupire model
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    implied Black-Scholes volatility
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