Path dependent volatility (Q940996): Difference between revisions

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+W2134782785
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+SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Q3509354
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+A complete Markovian stochastic volatility model in the HJM framework
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Complete–market models of stochastic volatility
@@ Property / cites work: Complete–market models of stochastic volatility / rank @@
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+On the complete model with stochastic volatility by Hobson and Rogers
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+Q5713276
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+Analysis of an uncertain volatility model
@@ Property / cites work: Analysis of an uncertain volatility model / rank @@
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+The obstacle problem for a class of hypoelliptic ultraparabolic equations
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+Q4218398
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+On oscillations of the geometric Brownian motion with time-delayed drift
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+Portfolio optimization with non-constant volatility and partial information
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Complete Models with Stochastic Volatility
@@ Property / cites work: Complete Models with Stochastic Volatility / rank @@
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+Hypoelliptic second order differential equations
@@ Property / cites work: Hypoelliptic second order differential equations / rank @@
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+Q4905685
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+Free boundary and optimal stopping problems for American Asian options
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+Q4876821
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+Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
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+Publication:940996