PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE (Q3444863)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE |
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PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE (English)
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5 June 2007
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option pricing
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hypergeometric
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Bessel and CEV diffusion processes
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Monte Carlo methods
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variance reduction
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bridge sampling algorithms
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path integration
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