Pricing of quanto option under the Hull and White stochastic volatility model (Q2851116)
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scientific article; zbMATH DE number 6214454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of quanto option under the Hull and White stochastic volatility model |
scientific article; zbMATH DE number 6214454 |
Statements
9 October 2013
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quanto option
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stochastic volatility model
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Hull-White model
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correlation expansion method
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0.9146589
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0.90685517
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0.9051867
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0.8979296
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0.8969856
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0.8965874
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0.8962494
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Pricing of quanto option under the Hull and White stochastic volatility model (English)
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