Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms
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DOI: 10.1016/j.jedc.2021.104113
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Keywords
Hilbert transforms; Malliavin calculus based expansions; Discretely monitored barrier options; Jump diffusion models with multifactor stochastic volatility; CEV model; Stochastic volatility models with jumps;All these keywords.
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