A path-independent approach to integrated variance under the CEV model (Q2228592)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A path-independent approach to integrated variance under the CEV model |
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A path-independent approach to integrated variance under the CEV model (English)
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19 February 2021
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CEV process
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realized variance
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small disturbance asymptotic expansion
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Brownian bridge
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conditional Monte-Carlo simulation
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