Convergence to Black-Scholes for ergodic volatility models
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Publication:3373764
DOI10.1017/S0956792505006285zbMath1136.91423MaRDI QIDQ3373764
Michael G. Sullivan, Joseph G. Conlon
Publication date: 9 March 2006
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792505006285
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
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