Saddlepoint approximation methods for pricing derivatives on discrete realized variance (Q4585899)
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scientific article; zbMATH DE number 6934620
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| English | Saddlepoint approximation methods for pricing derivatives on discrete realized variance |
scientific article; zbMATH DE number 6934620 |
Statements
Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (English)
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11 September 2018
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variance options
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volatility derivatives
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saddlepoint approximation
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discrete sampling
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0.7994685173034668
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0.78084796667099
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0.7689348459243774
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0.7678377032279968
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0.7645748853683472
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