Option pricing with quadratic volatility: a revisit (Q483708): Difference between revisions

@@ Property / author @@
-Leif B. G. Andersen
@@ Property / author: Leif B. G. Andersen / rank @@
-Normal rank
@@ Property / author @@
+Leif B. G. Andersen
@@ Property / author: Leif B. G. Andersen / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0142-8
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@@ Property / OpenAlex ID @@
+W3123371492
@@ Property / OpenAlex ID: W3123371492 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility skews and extensions of the Libor market model
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Q5528194
@@ Property / cites work: Q5528194 / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
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+Q4794153
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+Q4794126
@@ Property / cites work: Q4794126 / rank @@
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+Valuing foreign exchange rate derivatives with a bounded exchange process
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+Class 𝐷 supermartingales
@@ Property / cites work: Class 𝐷 supermartingales / rank @@
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+Q4002114
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+Q5294261
@@ Property / cites work: Q5294261 / rank @@
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@@ Property / cites work @@
+Option pricing in the presence of natural boundaries and a quadratic diffusion term
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@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
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@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
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+Computation of the Complex Error Function
@@ Property / cites work: Computation of the Complex Error Function / rank @@
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@@ Property / cites work @@
+Call option prices based on Bessel processes
@@ Property / cites work: Call option prices based on Bessel processes / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of derivatives on assets with quadratic volatility
+Normal rank