A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313)
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scientific article; zbMATH DE number 6995984
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model |
scientific article; zbMATH DE number 6995984 |
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A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (English)
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19 December 2018
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Shannon wavelet
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hybrid Monte Carlo partial differential equation
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dimension reduction
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multi-factor CIR
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jump-diffusion
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option pricing
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0.8938249
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0.8914691
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0.8816998
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0.88011116
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0.8668365
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0.8655224
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0.8640186
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