A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
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Publication:4286354
DOI10.15807/jorsj.36.149zbMath0793.90009OpenAlexW2098539282MaRDI QIDQ4286354
Toshihiro Yoshida, Masaaki Kijima
Publication date: 27 March 1994
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.36.149
Microeconomic theory (price theory and economic markets) (91B24) Stochastic systems in control theory (general) (93E03)
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