Solvable local and stochastic volatility models: supersymmetric methods in option pricing
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Publication:5433098
DOI10.1080/14697680601103045zbMath1151.91514arXivcond-mat/0511028MaRDI QIDQ5433098
Publication date: 19 December 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0511028
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- A Theory of the Term Structure of Interest Rates
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing Interest-Rate-Derivative Securities