Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models (Q6573361)
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scientific article; zbMATH DE number 7881813
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| English | Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models |
scientific article; zbMATH DE number 7881813 |
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Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models (English)
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16 July 2024
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average options
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mean-reversion
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Fourier series
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option pricing
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Monte Carlo simulations
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sensitivity analysis
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0.7798579335212708
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0.7618494629859924
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0.7600835561752319
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0.7547369599342346
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0.7528000473976135
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