Widening the Range of Underlyings for Derivatives Pricing with QUAD ...

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【作者(必填)】Su, H. and Newton, D. P.

【文题(必填)】Widening the Range of Underlyings for Derivatives Pricing with QUAD by using Finite Difference to Calculate Transition Densities - demonstrated for the No-Arbitrage SABR Model. Presented at the 32nd Australasian Finance and Banking Conference, December 2019.

【年份(必填)】2019

【全文链接或数据库名称(选填)】

Su, H. and Newton, D. P. (2019). Widening the Range of Underlyings for Derivatives Pricing with QUAD by using Finite Difference to Calculate Transition Densities - demonstrated for the No-Arbitrage SABR Model. Presented at the 32nd Australasian Finance and Banking Conference, December 2019.

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关键词：Australasian derivatives difference Conference Derivative