OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
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Publication:4522659
DOI10.1142/S0219024900000668zbMath0978.91046OpenAlexW1979286527MaRDI QIDQ4522659
Cho-Hoi Hui, Chi-Fai Lo, P. H. Yuen
Publication date: 2 January 2001
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024900000668
Lie algebrapartial differential equationconstant elasticity of varianceoption risktime-dependent volatilitypricing equity options
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