A new analytical approximation for European puts with stochastic volatility (Q972953)
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scientific article; zbMATH DE number 5710913
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| English | A new analytical approximation for European puts with stochastic volatility |
scientific article; zbMATH DE number 5710913 |
Statements
A new analytical approximation for European puts with stochastic volatility (English)
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21 May 2010
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singular perturbation
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European put options
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Heston model
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0.8110643625259399
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0.8040828108787537
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0.8001834750175476
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0.797179102897644
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0.7956383228302002
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