Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models (Q3107935)
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scientific article; zbMATH DE number 5991976
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| English | Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models |
scientific article; zbMATH DE number 5991976 |
Statements
METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS (English)
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28 December 2011
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double barrier option
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partial barrier option
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American corridor option
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linear programming
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moments
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polynomial jump-diffusion
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0.8038985729217529
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0.7983672618865967
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0.7932558059692383
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0.7932541370391846
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