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Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
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- Journal:
- Advances in Applied Probability / Volume 53 / Issue 1 / March 2021
- Published online by Cambridge University Press:
- 17 March 2021, pp. 220-250
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- March 2021
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Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options
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- Journal:
- Journal of Applied Probability / Volume 48 / Issue 2 / June 2011
- Published online by Cambridge University Press:
- 14 July 2016, pp. 389-403
- Print publication:
- June 2011
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