Pricing discrete barrier options under stochastic volatility (Q1929151)
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scientific article; zbMATH DE number 6122397
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| English | Pricing discrete barrier options under stochastic volatility |
scientific article; zbMATH DE number 6122397 |
Statements
Pricing discrete barrier options under stochastic volatility (English)
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7 January 2013
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discrete barrier option
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barrier option
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knock-out option
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double barrier option
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stochastic volatility
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CEV model
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Heston model
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SABR model
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\(\lambda \)-SABR model
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asymptotic expansion
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Malliavin calculus
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0.8573021292686462
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0.8428600430488586
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0.8416181802749634
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0.8342924118041992
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