First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment (Q4565075)
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scientific article; zbMATH DE number 6882231
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| English | First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment |
scientific article; zbMATH DE number 6882231 |
Statements
FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (English)
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7 June 2018
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functional Itô calculus
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multiscale stochastic volatility
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path dependence
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0.82900470495224
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0.7574816942214966
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0.7314198613166809
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0.7303131222724915
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