Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
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Publication:4363319
DOI10.1080/17442509608834049zbMath0891.60076OpenAlexW2013206893MaRDI 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
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The \(\alpha\)-hypergeometric stochastic volatility model ⋮ Expressions of forward starting option price in Hull-White stochastic volatility model ⋮ 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 ⋮ 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
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