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Local Volatility Pricing Models for Long-Dated FX Derivatives G. Deelstra, G. Rayee Universit´ e Libre de Bruxelles [removed]
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Document Date: 2010-06-20 11:40:29
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File Size: 538,20 KB
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City
Toronto /
Bruxelles /
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Organization
Congress /
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Person
Gregory Rayee /
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URL
http /
SocialTag
Statistics
Stochastic volatility
Local volatility
Heston model
Volatility
Hull–White model
Implied volatility
Foreign-exchange option
Option
Mathematical finance