Pricing perpetual timer option under the stochastic volatility model of Hull-White (Q5370796)
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scientific article; zbMATH DE number 6794581
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| English | Pricing perpetual timer option under the stochastic volatility model of Hull-White |
scientific article; zbMATH DE number 6794581 |
Statements
PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE (English)
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20 October 2017
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timer option
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stochastic volatility
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Bessel process
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0.8124091625213623
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0.7979680299758911
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0.7919309735298157
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0.7833156585693359
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