EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION (Q5422631): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00302.x / rank | |||
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| Property / OpenAlex ID: W2042824863 / rank | |||
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| Property / cites work: Review Paper. A survey of mathematical finance / rank | |||
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| Property / cites work: Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique / rank | |||
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| Property / cites work: Q4303982 / rank | |||
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| Property / cites work: On some exponential functionals of Brownian motion / rank | |||
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Latest revision as of 12:00, 27 June 2024
scientific article; zbMATH DE number 5205656
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION |
scientific article; zbMATH DE number 5205656 |
Statements
EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION (English)
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29 October 2007
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stochastic volatility
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Laplace-Girsanov transform
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measure change
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futures and option pricing
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implied volatility
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exact solution
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