ELS pricing and hedging in a fractional Brownian motion environment (Q2128261)
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scientific article; zbMATH DE number 7511343
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| default for all languages | No label defined |
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| English | ELS pricing and hedging in a fractional Brownian motion environment |
scientific article; zbMATH DE number 7511343 |
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ELS pricing and hedging in a fractional Brownian motion environment (English)
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21 April 2022
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equity-linked security
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fractional Brownian motion
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pricing
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calibration
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delta hedging
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0.743755578994751
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0.7393987774848938
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0.7241029143333435
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0.7185077667236328
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