Asymptotics for option pricing in stochastic volatility environment
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Publication:3407385
Ornstein-Uhlenbeck processfractional Brownian motionEuropean call optionfractional Itô-integralstochastic differential equation, Black-Scholes equation
Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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