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  • Search: subject:"local-stochastic volatility model"
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Subject
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Asymptotic expansion 2 CEV model 2 Malliavan calculus 2 Option pricing theory 2 Optionspreistheorie 2 SABR model 2 Stochastic process 2 Stochastischer Prozess 2 Volatility 2 Volatilität 2 local-stochastic volatility model 2 option pricing 2 ARCH model 1 ARCH-Modell 1 Estimation theory 1 Local stochastic volatility model 1 Malliavin calculus 1 Schätztheorie 1 weak approximation 1
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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TAKAHASHI, AKIHIKO 1 TODA, MASASHI 1 Takahashi, Akihiko 1 Toda, Masashi 1 Yamada, Toshihiro 1
Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 International journal of theoretical and applied finance 1
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
TAKAHASHI, AKIHIKO; TODA, MASASHI - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350031-1
This paper presents an extension of a general computational scheme for asymptotic expansions proposed in earlier works by the authors and coworkers. In the earlier works, a new method was developed for the computation of an arbitrary-order expansion with a normal benchmark distribution in a...
Persistent link: https://www.econbiz.de/10010681251
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Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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A weak approximation with Malliavin weights for local stochastic volatility model
Yamada, Toshihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10011673104
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