Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661)
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scientific article; zbMATH DE number 7444655
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks |
scientific article; zbMATH DE number 7444655 |
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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (English)
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14 December 2021
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continuous-time Markov chains
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stochastic local volatility models
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option pricing
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greeks
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convergence rates
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