Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter (Q3068014)
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scientific article; zbMATH DE number 5836043
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| English | Asymptotics for option pricing in fractional stochastic volatility with arbitrary Hurst parameter |
scientific article; zbMATH DE number 5836043 |
Statements
13 January 2011
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fractional Brownian motion
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Ornstein-Uhlenbeck process
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stochastic integral
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Itô formula
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stochastic differential equation
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Black-Scholes equation
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European call option
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singular perturbation
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0.912418007850647
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0.8893736004829407
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0.8646702170372009
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0.8505190014839172
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0.836514413356781
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