Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (Q5030643)
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scientific article; zbMATH DE number 7476028
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| English | Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models |
scientific article; zbMATH DE number 7476028 |
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Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (English)
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17 February 2022
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variable precision arithmetic
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numerical integration
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adaptive quadrature
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option pricing
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stochastic volatility models
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0.7730391025543213
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0.7459028959274292
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0.7405436635017395
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0.7376415133476257
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0.7316965460777283
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