Resonance phenomena in option pricing with arbitrage
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Publication:2067175
DOI10.1016/j.physa.2019.123238zbMath1492.91370OpenAlexW2980838004WikidataQ126992614 ScholiaQ126992614MaRDI QIDQ2067175
Publication date: 17 January 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.123238
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Financially constrained arbitrage in illiquid markets
- Stochastic volatility, smile & asymptotics
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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