A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (Q6188915)
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scientific article; zbMATH DE number 7787270
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| English | A Fréchet derivative‐based novel approach to option pricing models in illiquid markets |
scientific article; zbMATH DE number 7787270 |
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A Fréchet derivative‐based novel approach to option pricing models in illiquid markets (English)
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12 January 2024
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Fréchet derivative
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hedge cost
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illiquid markets
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linearization
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Newton iteration
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nonlinear Black-Scholes equation
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0.8267990350723267
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0.8259503245353699
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0.819195568561554
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0.8146924376487732
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