Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility
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Cited by:
- Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org, revised Feb 2025.
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This paper has been announced in the following NEP Reports:- NEP-CSE-2016-08-07 (Economics of Strategic Management)
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