Option pricing with quadratic volatility: a revisit (Q483708)
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scientific article; zbMATH DE number 6381314
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing with quadratic volatility: a revisit |
scientific article; zbMATH DE number 6381314 |
Statements
Option pricing with quadratic volatility: a revisit (English)
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17 December 2014
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quadratic volatility
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strict local martingale
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put and call option pricing
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hitting time densities
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Fourier series
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method of images
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0.7735640406608582
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0.7695286273956299
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0.767654299736023
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0.758087694644928
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