The pricing of Quanto options under dynamic correlation (Q457739)
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scientific article; zbMATH DE number 6349170
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of Quanto options under dynamic correlation |
scientific article; zbMATH DE number 6349170 |
Statements
The pricing of Quanto options under dynamic correlation (English)
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29 September 2014
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quanto options
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dynamic correlation
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hyperbolic tangent
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Black-Scholes equation
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correlation risk
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