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 / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G44
@@ Property / Mathematics Subject Classification ID: 60G44 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6381314
@@ Property / zbMATH DE Number: 6381314 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quadratic volatility
@@ Property / zbMATH Keywords: quadratic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+strict local martingale
@@ Property / zbMATH Keywords: strict local martingale / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+put and call option pricing
@@ Property / zbMATH Keywords: put and call option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+hitting time densities
@@ Property / zbMATH Keywords: hitting time densities / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Fourier series
@@ Property / zbMATH Keywords: Fourier series / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+method of images
@@ Property / zbMATH Keywords: method of images / 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 @@
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@@ 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
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing foreign exchange rate derivatives with a bounded exchange process
+Normal rank
@@ Property / cites work @@
+Class 𝐷 supermartingales
@@ Property / cites work: Class 𝐷 supermartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
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@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5294261
@@ Property / cites work: Q5294261 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in the presence of natural boundaries and a quadratic diffusion term
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of the Complex Error Function
@@ Property / cites work: Computation of the Complex Error Function / rank @@
+Normal rank
@@ 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
@@ links / mardi / name / links / mardi / name @@
+Publication:483708