Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181)
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scientific article; zbMATH DE number 7511263
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| English | Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model |
scientific article; zbMATH DE number 7511263 |
Statements
Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (English)
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21 April 2022
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perpetual American lookback option
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multiscale stochastic volatility
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multiscale asymptotic technique
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nonlinear parabolic problem
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0.8605649471282959
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0.8545610904693604
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0.8256853818893433
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0.814551055431366
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0.8069863319396973
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