EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION (Q5422631): Difference between revisions
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Revision as of 21:51, 5 March 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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