PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593)
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scientific article; zbMATH DE number 7206829
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 7206829 |
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PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (English)
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2 June 2020
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extendable options
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Heston model
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fast Fourier transform
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finite difference method
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Monte Carlo simulation
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0.8849308
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0.87640387
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