Asymptotic expansion method for local volatility models (Q5190935)
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scientific article; zbMATH DE number 5587403
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| English | Asymptotic expansion method for local volatility models |
scientific article; zbMATH DE number 5587403 |
Statements
27 July 2009
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volatility coefficient in the Black-Scholes models
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explicit asymptotic pricing formula
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0.8795139193534851
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0.8445494174957275
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0.8406688570976257
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0.8371171355247498
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0.8342360854148865
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