Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984)
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scientific article; zbMATH DE number 7316157
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| English | Pricing of defaultable options with multiscale generalized Heston's stochastic volatility |
scientific article; zbMATH DE number 7316157 |
Statements
Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (English)
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1 March 2021
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default risk
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option pricing
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stochastic volatility
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Heston model
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multiscale
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0.7823296785354614
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0.7784603834152222
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0.7649951577186584
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0.760897696018219
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