An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066)
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scientific article; zbMATH DE number 6479569
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets |
scientific article; zbMATH DE number 6479569 |
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An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (English)
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9 September 2015
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basket option
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jump diffusion model
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stochastic volatility
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local volatility
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asymptotic expansion
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approximation formula
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0.90952396
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0.88740087
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0.8766196
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0.8755264
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0.87192965
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0.8712067
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