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Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation.
Yuri F. Saporito
Published in:
SIAM J. Financial Math. (2020)
Keyphrases
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multiscale
image representation
probabilistic model
multiresolution
image classification
complex systems
image processing
wavelet transform
wavelet coefficients
monte carlo
information sharing
stock market
stochastic model
translation invariant
financial crisis
multiscale representation