EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
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Publication:5422631
DOI10.1111/j.1467-9965.2006.00302.xzbMath1186.91218MaRDI QIDQ5422631
Publication date: 29 October 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00302.x
exact solution; stochastic volatility; implied volatility; measure change; futures and option pricing; Laplace-Girsanov transform
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work