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  • Search: subject:"Local volatility model"
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Year of publication
Subject
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Local volatility model 2 Option pricing theory 2 Optionspreistheorie 2 Statistical distribution 2 Statistische Verteilung 2 Volatility 2 Volatilität 2 American options 1 At-the-money skew 1 Black-Scholes model 1 Black-Scholes-Modell 1 Estimation theory 1 Implied volatility 1 Liquidity 1 Liquidity premia 1 Liquidität 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Monte- Carlo methods 1 Nichtparametrisches Verfahren 1 Non-parametric estimation 1 Nonparametric statistics 1 Real-world density 1 Schätztheorie 1 Simulated Maximum Likelihood 1 Skew Brownian motion 1 Stochastic process 1 Stochastischer Prozess 1 backward stochastic differential equations 1 local volatility model 1 non linear PDE 1 parallel computing 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Barkhagen, Mathias 1 Blomvall, Jörgen 1 Gairat, Alexander 1 Labart, Céline 1 Lelong, Jérôme 1 Platen, Eckhard 1 Shcherbakov, Vadim 1
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Institution
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HAL 1
Published in...
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Finance and stochastics 1 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1 Working Papers / HAL 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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Cover Image
Recovering the real-world density and liquidity premia from option data
Barkhagen, Mathias; Blomvall, Jörgen; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344223
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Cover Image
A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options
Labart, Céline; Lelong, Jérôme - HAL - 2011
We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the...
Persistent link: https://www.econbiz.de/10008854443
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