Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (Q4943153)
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scientific article; zbMATH DE number 1415839
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| English | Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension |
scientific article; zbMATH DE number 1415839 |
Statements
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (English)
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16 March 2000
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option pricing
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mean-reversion
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volatility smile
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stochastic volatility
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Ornstein-Uhlenbeck process
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Fourier inversion
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0.8244407176971436
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0.8227353692054749
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0.8186066150665283
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0.7931647300720215
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0.7906429171562195
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