Simple analytical formulas for pricing and hedging moment swaps (Q5040907)
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scientific article; zbMATH DE number 7602869
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| English | Simple analytical formulas for pricing and hedging moment swaps |
scientific article; zbMATH DE number 7602869 |
Statements
18 October 2022
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moment swaps
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discrete sampling
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Black-Scholes model
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time-dependent parameters
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0.729235053062439
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0.7287148833274841
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0.7270660400390625
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