OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS (Q4522659)

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scientific article; zbMATH DE number 1548408
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OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS
scientific article; zbMATH DE number 1548408

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    OPTION RISK MEASUREMENT WITH TIME-DEPENDENT PARAMETERS (English)
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    2 January 2001
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    option risk
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    pricing equity options
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    constant elasticity of variance
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    time-dependent volatility
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    partial differential equation
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    Lie algebra
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