Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation (Q4979883)
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scientific article; zbMATH DE number 6305522
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| English | Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation |
scientific article; zbMATH DE number 6305522 |
Statements
EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION (English)
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19 June 2014
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hybrid derivatives
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best-of options
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inflation derivatives
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local volatility model
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expansion formula
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closed-form solutions
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0.8067402243614197
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0.8030511140823364
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0.7719044089317322
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0.7657554745674133
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0.7608583569526672
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