Path dependent volatility

From MaRDI portal
Publication:940996


DOI10.1007/s10203-007-0076-6zbMath1160.35457MaRDI QIDQ940996

Andrea Pascucci, Paolo Foschi

Publication date: 4 September 2008

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: http://amsacta.unibo.it/2263/1/PDV.pdf


35K65: Degenerate parabolic equations

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


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