On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model (Q3449446)
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scientific article; zbMATH DE number 6504529
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| English | On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model |
scientific article; zbMATH DE number 6504529 |
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On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (English)
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4 November 2015
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stochastic volatility model
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error estimates
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asymptotic expansion
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Malliavin calculus
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Kusuoka-Stroock functions
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option price
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Greeks
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0.8427849411964417
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0.7982797026634216
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0.7969294786453247
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0.7936687469482422
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0.7922555208206177
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