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~person:"Heath, David"
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Heath, David
Platen, Eckhard
67
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A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
Heath, David
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2014
over long time periods. The method is widely applicable and is demonstrated here in the general setting of the
benchmark
…
Persistent link: https://www.econbiz.de/10010888484
Saved in:
2
Local Volatility Function Models under a
Benchmark
Approach
Heath, David
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2004
and hedging of derivatives under the
benchmark
approach does not require the existence of an equivalent risk neutral …
Persistent link: https://www.econbiz.de/10004984605
Saved in:
3
Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
Heath, David
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2002
methodology fails. However, a consistent pricing and hedging framework can be established by application of the
benchmark
approach …
Persistent link: https://www.econbiz.de/10004984496
Saved in:
4
Local volatility function models under a
benchmark
approach
Heath, David
;
Platen, Eckhard
- In:
Quantitative Finance
6
(
2006
)
3
,
pp. 197-206
-factor local volatility function models for stock indices under a
benchmark
approach. It is assumed that the dynamics for a large …
Persistent link: https://www.econbiz.de/10005495761
Saved in:
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