Asymptotic analysis of shout options close to expiry
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Publication:469983
DOI10.1155/2014/920385zbMath1298.91152OpenAlexW2024997127WikidataQ59049827 ScholiaQ59049827MaRDI QIDQ469983
Roland Mallier, Ghada Alobaidi
Publication date: 11 November 2014
Published in: ISRN Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/920385
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
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