On properties of analytically solvable families of local volatility diffusion models (Q4906524)
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scientific article; zbMATH DE number 6139578
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| English | On properties of analytically solvable families of local volatility diffusion models |
scientific article; zbMATH DE number 6139578 |
Statements
ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS (English)
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28 February 2013
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option pricing
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first exit time
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nonlinear volatility diffusions
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implied volatility smile
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solvable hypergeometric diffusions
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Bessel process
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CIR process
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Ornstein-Uhlenbeck process
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Jacobi process
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CEV model
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0.8218362331390381
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0.776166558265686
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0.7666699886322021
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0.7423717379570007
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0.7312171459197998
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