Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
From MaRDI portal
Publication:4363319
DOI10.1080/17442509608834049zbMath0891.60076MaRDI QIDQ4363319
Publication date: 7 January 1998
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509608834049
60J60: Diffusion processes
Related Items
INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS, EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION, The \(\alpha\)-hypergeometric stochastic volatility model, On Bougerol and Dufresne's identities for exponential Brownian functionals, Brownian motion on the hyperbolic plane and Selberg trace formula, Parameter Estimation for a Discretely Observed Integrated Diffusion Process