An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
Year of publication: |
2020
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Authors: | Shiraya, Kenichiro |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 8, p. 1-20
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Subject: | Approximation formula | barrier options | local stochastic volatility models | multi-asset | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Experiment | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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