Pricing American lookback options under a stochastic volatility model (Q6043631)
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scientific article; zbMATH DE number 7688252
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| English | Pricing American lookback options under a stochastic volatility model |
scientific article; zbMATH DE number 7688252 |
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23 May 2023
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American lookback options
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stochastic volatility
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Laplace-Carson transform
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Monte Carlo simulation
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0.8345016837120056
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0.8256171941757202
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0.8171946406364441
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