Dupire's formulas in the Piterbarg option pricing model
Year of publication: |
November 2016
|
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Authors: | Labuschagne, Coenraad C. A. ; Boetticher, Sven T. von |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 38.2016, p. 148-162
|
Subject: | Dupire | Local volatility | Option pricing | Piterbarg | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
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