IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (Q3393973)
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scientific article; zbMATH DE number 5599337
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| English | IMPLIED VOLATILITY IN THE HULL-WHITE MODEL |
scientific article; zbMATH DE number 5599337 |
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IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (English)
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28 August 2009
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Hull-White model
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implied volatility
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asymptotic formulas
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distribution densities
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implied total variance
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0.8156787753105164
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0.812587559223175
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0.8031086921691895
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0.8001030683517456
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