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Nonlinear Option Pricing

Julien Guyon and Pierre Henry-Labordere

The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, ...

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Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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Length: 486 pages

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