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sound wave
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Top posts
question
4
Why is the market price of risk in the one factor Schwartz model different from the usual one?
Jul 7, 2021
question
3
Are changes in the asset price a Markov process?
Oct 31, 2017
question
3
Are the increments of a stochastic process driven by fractional Brownian motion independent?
Mar 5, 2020
question
3
How to reduce variance in Monte Carlo using Control Variates when spot prices are decreasing?
Oct 2, 2020
question
2
Solve the Schwartz mean reverting PDE for option pricing using Euler explicit method (matlab)
Sep 18, 2020
question
1
How to perform Monte Carlo simulations to price a Forward contract under the Schwartz mean reverting model?
Sep 19, 2020
question
1
Option pricing in Merton model, comparison between Merton series and Carr-Madan
Nov 9, 2017
question
0
Does the Lévy characterization imply that the price process of any asset is a Brownian motion?
Apr 27, 2022
question
0
Accuracy of Explicit Euler method (finite difference) decreases as Δx decreases, shouldn't it increase?
Sep 24, 2020
question
0
When pricing with Monte Carlo using market prices, should we use only the first price or all the prices to create the paths?
Sep 24, 2020
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