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Hedging barrier options through a log-normal local stochastic volatility model
Conference paper
Proceedings - 22nd International Congress on Modelling and Simulation, MODSIM 2017
Authors:
Ning，Wei
;
Lee，G.
;
Langrene，N.
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Submit date：2022/08/29
Barrier option
Black-Scholes model
Delta-Gamma hedging
Hedging performance
Log-Normal Local Stochastic Volatility model
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