FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility (Q902968)
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scientific article; zbMATH DE number 6526080
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility |
scientific article; zbMATH DE number 6526080 |
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FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility (English)
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4 January 2016
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FX options
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mean reversion
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jump
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stochastic volatility
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Attari formula
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