"Short Communication: Pricing Path-Dependent Derivatives under Multiscale ..."

Yuri F. Saporito (2020)

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DOI: 10.1137/20M1347334

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type: Journal Article

metadata version: 2020-10-26

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Yuri F. Saporito:
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation. SIAM J. Financial Math. 11(3) (2020)

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