Pricing vulnerable fader options under stochastic volatility models
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Publication:2691481
DOI10.3934/JIMO.2022193OpenAlexW4312841668MaRDI QIDQ2691481
Publication date: 29 March 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022193
Processes with independent increments; Lévy processes (60G51) Numerical optimization and variational techniques (65K10) Stochastic models in economics (91B70)
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