Most-likely-path in Asian option pricing under local volatility models (Q4584697)
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scientific article; zbMATH DE number 6931439
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| English | Most-likely-path in Asian option pricing under local volatility models |
scientific article; zbMATH DE number 6931439 |
Statements
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (English)
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4 September 2018
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Asian option pricing
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asymptotic expansion
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exotic option
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large deviation theory
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most-likely-path
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0.844858705997467
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0.8400232195854187
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0.8167768120765686
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0.8080068230628967
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0.8041048049926758
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