Continuously monitored barrier options under Markov processes (Q4906512)
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scientific article; zbMATH DE number 6139566
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| English | Continuously monitored barrier options under Markov processes |
scientific article; zbMATH DE number 6139566 |
Statements
CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (English)
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28 February 2013
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pricing algorithms
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barrier options
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continuous-time Markov chain
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local volatility models with jumps
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Lévy processes
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normal inverse Gaussian process
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variance gamma process
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CGMY model
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Sato processes
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local Lévy processes
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0.8418114185333252
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0.8246784210205078
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0.8112064599990845
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