This paper studies the pricing of variance swap derivatives with stochastic volatility by the control variate method. A closed form solution is derived for the approximate model with deterministic volatility, which plays the key role in the paper, and an efficient control variate technique is theref
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An efficient method for polyphosphorylation of inositol derivatives
โ Scribed by Yutaka Watanabe; Hiroyuki Nakahira; Motonobu Bunya; Shoichiro Ozaki
- Publisher
- Elsevier Science
- Year
- 1987
- Tongue
- French
- Weight
- 133 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0040-4039
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Thanks are due to R. Kaptein, R. Boelens, and A. Bonvin for providing the program IRMA2 and to R. Boelens, A. Rullmann, and A. Bonvin for discussions and reading the manuscript. We are also grateful to E. Shnol' for permanent interest in this work and helpful discussions. This work was supported by
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