Calibration to vanilla and barrier options with the Gyöngy and Brunick--Shreve Markovian projections
<p>In this thesis, we present a novel approach to the calibration of diffusion models to vanilla and barrier options with the Gyöngy and Brunick–Shreve Markovian projection results. Firstly, we derive a forward equation for arbitrage-free barrier option prices in continuous semi-martingale mod...
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| Formato: | Tese |
| Idioma: | English |
| Publicado em: |
2017
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