Option pricing with quadratic volatility: a revisit

DOI10.1007/s00780-010-0142-8zbMath1303.91165MaRDI QIDQ483708

Leif B. G. Andersen

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0142-8

zbMATH Keywords

method of images; Fourier series; strict local martingale; hitting time densities; put and call option pricing; quadratic volatility

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

91G20: Derivative securities (option pricing, hedging, etc.)

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