Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model (Q4631699)
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scientific article; zbMATH DE number 7045987
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| English | Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model |
scientific article; zbMATH DE number 7045987 |
Statements
SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (English)
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18 April 2019
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Malliavin calculus
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Lévy process
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geometric Asian option
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Itô formula
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0.831688642501831
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0.8307684659957886
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0.824435293674469
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0.8177534937858582
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0.815222442150116
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