Convex duality in continuous option pricing models (Q6549620)
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scientific article; zbMATH DE number 7859365
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convex duality in continuous option pricing models |
scientific article; zbMATH DE number 7859365 |
Statements
Convex duality in continuous option pricing models (English)
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4 June 2024
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convex duality
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option valuation
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dual delta
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convex conjugate
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multiplicatively separable volatility
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logistic model
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Bachelier model
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