Analytical approximation of the transition density in a local volatility model
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More about this item
Keywordsoption pricing; analytical approximation; local volatility;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-04 (All new papers)
- NEP-ETS-2011-06-04 (Econometric Time Series)
- NEP-ORE-2011-06-04 (Operations Research)
- NEP-SEA-2011-06-04 (South East Asia)
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