Hermite polynomial based expansion of European option prices (Q469560)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hermite polynomial based expansion of European option prices |
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Hermite polynomial based expansion of European option prices (English)
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11 November 2014
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option valuation
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closed-form expansion
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mean-reversion
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self-exciting jumps
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double exponential jumps
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