On option pricing in models driven by iterated integrals of Brownian motion (Q3562644)
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scientific article; zbMATH DE number 5713268
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| English | On option pricing in models driven by iterated integrals of Brownian motion |
scientific article; zbMATH DE number 5713268 |
Statements
27 May 2010
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Brownian motion
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iterated stochastic integral
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martingale
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European option
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0.7789531946182251
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0.7702464461326599
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