LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES (Q5217005)
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scientific article; zbMATH DE number 7171904
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES |
scientific article; zbMATH DE number 7171904 |
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LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES (English)
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21 February 2020
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local volatility
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quanto option
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Dupire equation
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Fokker-Planck equation
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stochastic interest rate
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