Passport options with stochastic volatility
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Publication:4541603
DOI10.1080/13504860110068863zbMath1013.91046MaRDI QIDQ4541603
Vicky Henderson, David G. Hobson
Publication date: 5 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860110068863
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Cites Work
- Local time, coupling and the passport option
- Option Pricing Under Incompleteness and Stochastic Volatility
- Various passport options and their valuation
- 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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