Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844)
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scientific article; zbMATH DE number 6915879
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Local Volatility, Conditioned Diffusions, and Varadhan's Formula |
scientific article; zbMATH DE number 6915879 |
Statements
Local Volatility, Conditioned Diffusions, and Varadhan's Formula (English)
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10 August 2018
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conditional density asymptotics
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local volatility
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stochastic volatility
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large deviations
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0.89746815
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0.8954874
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0.8928325
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0.88914937
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0.8853127
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0.8845334
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0.8839519
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0.88235414
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0.8821901
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