Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (Q6556204)
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scientific article; zbMATH DE number 7865927
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps |
scientific article; zbMATH DE number 7865927 |
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Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (English)
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17 June 2024
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recursion-quadrature algorithms
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Asian options
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variance derivatives
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stochastic volatility models with Lévy jumps
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time-changed Lévy models
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