Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms (Q4600764)
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scientific article; zbMATH DE number 6825403
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| English | Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms |
scientific article; zbMATH DE number 6825403 |
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Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms (English)
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12 January 2018
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Mellin transform
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Black-Scholes partial differential equation
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jump-diffusion model
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implied volatility estimation
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Dupire equation
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0.7705002427101135
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0.741882860660553
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0.7407678961753845
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0.7347095608711243
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