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Pricing window barrier options with a hybrid stochastic-local volatility model.
Yu Tian
Zili Zhu
Geoffrey Lee
Thomas Lo
Fima C. Klebaner
Kais Hamza
Published in:
CIFEr (2014)
Keyphrases
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stochastic model
neural network
prior knowledge
statistical model
probabilistic model
computational model
formal model
data sets
high level
objective function
management system
theoretical analysis
theoretical framework
mathematical model
simulation model
hybrid model