Exchange option pricing under stochastic volatility: a correlation expansion (Q965896)
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scientific article; zbMATH DE number 5701663
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| English | Exchange option pricing under stochastic volatility: a correlation expansion |
scientific article; zbMATH DE number 5701663 |
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Exchange option pricing under stochastic volatility: a correlation expansion (English)
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26 April 2010
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options
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stochastic volatility
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SDE
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PDE
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Margrabe's formula
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0.7903294563293457
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0.7742276191711426
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0.7691016793251038
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0.766064465045929
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