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Wiener–Ito Chaos Expansion, Hermite Polynomial, Successive Substitution, Diffusion Process, European Option
Wiener-Ito chaos expansion, Hermite polynomial, successive substitution, diffusion
Local volatility model, stochastic volatility model, fractional volatlity model, chaos expansion, density matching, calibration
Fractional Brownian motion; Hurst index; Stochastic volatility; Mean-reverting process; Implied volatility
Asian Option; Fractional Brownian motion; Stochastic volatility model; Meanreverting.
Average option; VWAP option; Local volatility model; Mean-reverting process
Wiener-Ito chaos expansion, local volatility, average option, basket option, spread option, Asian basket option
Hybrid stochastic and local volatility model, Wiener-Ito Chaos expansion, Hermite polynomial, Successive substitution, Smile and skew, Black-Scholes model
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