Expressions of forward starting option price in Hull-White stochastic volatility model (Q2145694)
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scientific article; zbMATH DE number 7544259
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| English | Expressions of forward starting option price in Hull-White stochastic volatility model |
scientific article; zbMATH DE number 7544259 |
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Expressions of forward starting option price in Hull-White stochastic volatility model (English)
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17 June 2022
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forward starting option
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Hull-White stochastic volatility model
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Yor's formula
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asymptotic expansion
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0.9319447
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0.8962494
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0.8819187
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0.8791528
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0.8776861
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0.87734723
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0.87102735
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0.8694523
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