Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Year of publication: |
2007
|
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Authors: | Campolieti, Giuseppe ; Makarov, Roman |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 10.2007, 1, p. 51-88
|
Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
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