Titlebook: Derivative Security Pricing; Techniques, Methods Carl Chiarella,Xue-Zhong He,Christina Sklibosios N Book 2015 Springer-Verlag Berlin Heide

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書目名稱Derivative Security Pricing影響因子(影響力)




書目名稱Derivative Security Pricing影響因子(影響力)學(xué)科排名




書目名稱Derivative Security Pricing網(wǎng)絡(luò)公開(kāi)度




書目名稱Derivative Security Pricing網(wǎng)絡(luò)公開(kāi)度學(xué)科排名




書目名稱Derivative Security Pricing被引頻次




書目名稱Derivative Security Pricing被引頻次學(xué)科排名




書目名稱Derivative Security Pricing年度引用




書目名稱Derivative Security Pricing年度引用學(xué)科排名




書目名稱Derivative Security Pricing讀者反饋




書目名稱Derivative Security Pricing讀者反饋學(xué)科排名

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Book 2015tuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Fu

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Andrés Rodríguez-Lorenzo,Chieh-Han John TzouIn this chapter, we introduce some stochastic volatility models and consider option prices under stochastic volatility. In particular, we consider the solutions of the option pricing when volatility follows a mean-reverting diffusion process. We also introduce the Heston model, one of the most popular stochastic volatility models.

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https://doi.org/10.1007/978-3-030-45920-8e binomial expression for the option price converges to the Black–Scholes option price and pricing equation. Alternatively, the continuous time model can be discretised in a way that yields the same expressions as obtained by the binomial tree approach.

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Facial Paralysis and Facial Reanimations which may underestimate the size of the smile. We then develop an approach to calibrate the smile by choosing the volatility function as a deterministic function of the underlying asset price and time so as to fit the model option price to the observed volatility smile.

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