MEAN-REVERTING STOCHASTIC VOLATILITY
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Publication:3523547
DOI10.1142/S0219024900000061zbMath1153.91497OpenAlexW1992598907MaRDI QIDQ3523547
Jean-Pierre Fouque, Ronnie Sircar, George S. Papanicolaou
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024900000061
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
- Adaptive covariance estimation of locally stationary processes
- ARCH models as diffusion approximations
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A Risk-Neutral Stochastic Volatility Model
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Calibrating volatility surfaces via relative-entropy minimization
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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