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- W2489343867 abstract "The goal of this survey article is to present in detail a method that, for a financial derivative under a certain stochastic volatility model, allows to obtain a decomposition of its pricing formula that distinguishes clearly the impact of correlation and jumps. This decomposed pricing formula, usually called Hull and White type formula, can be potentially useful for model selection and calibration. The method is based on the obtention of an ad-hoc anticipating Itô formula." @default.
- W2489343867 created "2016-08-23" @default.
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- W2489343867 date "2016-01-01" @default.
- W2489343867 modified "2023-09-27" @default.
- W2489343867 title "Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus" @default.
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- W2489343867 doi "https://doi.org/10.1007/978-3-319-30417-5_4" @default.
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