The Valuation of Volatility Options
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Publication:2707034
DOI10.1023/A:1009814324980zbMath0978.91031MaRDI QIDQ2707034
Carlton-James U. Osakwe, Jérôme B. Detemple
Publication date: 1 February 2002
Published in: Review of Finance (Search for Journal in Brave)
hedgingstochastic volatilityAmerican optionsviabilityEuropean optionsearly exercise premiumoptimal exercise
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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