Replication scheme for the pricing of European options (Q5010065)
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scientific article; zbMATH DE number 7384595
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Replication scheme for the pricing of European options |
scientific article; zbMATH DE number 7384595 |
Statements
REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS (English)
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24 August 2021
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local volatility model
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stochastic volatility model
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fractional volatility model
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chaos expansion
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density matching
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calibration
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0.7650101184844971
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0.7556363344192505
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0.748319149017334
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0.7451422214508057
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0.7444117665290833
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