Price sensitivities for a general stochastic volatility model (Q5205070)
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scientific article; zbMATH DE number 7141944
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Price sensitivities for a general stochastic volatility model |
scientific article; zbMATH DE number 7141944 |
Statements
10 December 2019
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Brownian motion
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SDEs
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Ito formula
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Malliavin calculus
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stochastic volatility
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price sensitivities
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0.7931891679763794
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0.7865606546401978
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0.7827259302139282
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0.7814952731132507
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