Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388)
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scientific article; zbMATH DE number 7048065
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| English | Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth |
scientific article; zbMATH DE number 7048065 |
Statements
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (English)
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26 April 2019
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option pricing
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stochastic volatility
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Black-Scholes model
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Wiener process
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discontinuous payoff function
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polynomial growth
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rate of convergence
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discretization
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conditioning
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Malliavin calculus
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stochastic derivative
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Skorokhod integral
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0.8285079002380371
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0.8247451186180115
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0.7946065664291382
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0.7934935092926025
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