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Black-Scholes model 1 Black-Scholes-Modell 1 Cumulants 1 Fluctuations 1 Malliavin calculus 1 Non-Gaussian effects 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 SDEs driven by fractional Brownian motions 1 Small time expansion 1 Time expansion 1 Young integrals 1 discretely monitored Asian options 1 small-time expansion 1 the Black-Scholes model 1 the Brennan and Schwartz process 1 the CEV model 1 the CIR process 1
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Article 3
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
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Cai, Ning 1 Cohen, E.G.D. 1 Li, Chenxu 1 Shi, Chao 1 Yamada, Toshihiro 1 van Zon, R. 1
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Mathematics of operations research 1 Physica A: Statistical Mechanics and its Applications 1 Statistics & Probability Letters 1
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RePEc 2 ECONIS (ZBW) 1
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A formula of small time expansion for Young SDE driven by fractional Brownian motion
Yamada, Toshihiro - In: Statistics & Probability Letters 101 (2015) C, pp. 64-72
This paper shows an explicit small time expansion formula of expectation of the solution to Young SDEs driven by …-dimensional Young SDE driven by fractional Brownian motion and confirm the validity of our small time expansion through numerical …
Persistent link: https://www.econbiz.de/10011263149
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Closed-form expansions of discretely monitored Asian options in diffusion models
Cai, Ning; Li, Chenxu; Shi, Chao - In: Mathematics of operations research 39 (2014) 3, pp. 789-822
Persistent link: https://www.econbiz.de/10010402956
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Theorem on the distribution of short time single particle displacements
van Zon, R.; Cohen, E.G.D. - In: Physica A: Statistical Mechanics and its Applications 365 (2006) 1, pp. 108-112
The distribution of the initial very short-time displacements of a single particle is considered for a class of classical systems with Gaussian initial velocity distributions and arbitrary initial particle positions. A very brief sketch is given of a rather intricate and lengthy proof that for...
Persistent link: https://www.econbiz.de/10010589022
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