Computing the implied volatility in stochastic volatility models
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Publication:3156847
DOI10.1002/cpa.20039zbMath1181.91356OpenAlexW2113562192MaRDI QIDQ3156847
Igor Florent, Jérôme Busca, Henri Berestycki
Publication date: 12 January 2005
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.20039
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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