OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL
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Publication:3067763
DOI10.1142/S0219024910006108zbMath1203.91282arXiv0905.1882MaRDI QIDQ3067763
V. Cazzola, Danilo Delpini, Giacomo Bormetti
Publication date: 13 January 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0905.1882
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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