Analytical approximations of local-Heston volatility model and error analysis
Year of publication: |
2018
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Authors: | Bompis, R. ; Gobet, E. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 3, p. 920-961
|
Subject: | analytical approximations | local and stochastic volatilities | Malliavincalculus | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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