Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206)
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scientific article; zbMATH DE number 5789612
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility |
scientific article; zbMATH DE number 5789612 |
Statements
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (English)
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21 September 2010
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Asian options
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Heston
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stochastic volatility
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calibration
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volatility swaps
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0.9165325
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0.91401017
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0.9123171
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0.90974736
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0.90273356
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0.9025918
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0.9007856
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0.8988099
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0.89590293
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