Replication scheme for the pricing of European options
Year of publication: |
2021
|
---|---|
Authors: | Funahashi, Hideharu |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 3, p. 1-37
|
Subject: | calibration | chaos expansion | density matching | fractional volatility model | Local volatility model | stochastic volatility model | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
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