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LANGRENÉ Nicolas
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Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
Journal article
Stochastics,2022, volume: 94, issue: 5, pages: 745-788
Authors:
Das, Kaustav
;
Langrené, Nicolas
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Submit date：2022/08/29
41A58
65C20
91G60
closed-form approximation
closed-form expansion
GARCH
Heston
Stochastic volatility
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