Option pricing in the presence of natural boundaries and a quadratic diffusion term
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Publication:1376239
DOI10.1007/s007800050027zbMath0888.90021OpenAlexW2056941613MaRDI QIDQ1376239
Publication date: 11 December 1997
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800050027
option pricingdiffusion processEuropean optionsbond optionschange-of-numeraire techniqueclosed-form pricesquadratic diffusion terms
Signal detection and filtering (aspects of stochastic processes) (60G35) Derivative securities (option pricing, hedging, etc.) (91G20)
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