The pricing of vulnerable options with double Mellin transforms (Q465177)
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scientific article; zbMATH DE number 6362850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The pricing of vulnerable options with double Mellin transforms |
scientific article; zbMATH DE number 6362850 |
Statements
The pricing of vulnerable options with double Mellin transforms (English)
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31 October 2014
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vulnerable option
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double Mellin transform
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Mellin convolution
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Hull-White interest rates
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