Barrier option pricing under the Vasicek model of the short rate (Q3103700)
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scientific article; zbMATH DE number 5987589
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| English | Barrier option pricing under the Vasicek model of the short rate |
scientific article; zbMATH DE number 5987589 |
Statements
8 December 2011
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barrier option pricing
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Vasicek model
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Black-Scholes model
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fractional Brownian motion
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0.8324295282363892
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0.8244969248771667
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