Asymptotic option pricing under the CEV diffusion (Q615913)
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scientific article; zbMATH DE number 5833489
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic option pricing under the CEV diffusion |
scientific article; zbMATH DE number 5833489 |
Statements
Asymptotic option pricing under the CEV diffusion (English)
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7 January 2011
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option pricing
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constant elasticity of variance
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asymptotic expansion
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barrier option
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lookback option
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error estimate
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0.95213634
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0.9335505
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0.9139846
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0.9111729
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0.9069757
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0.9049225
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