A closed-form solution for options with ambiguity about stochastic volatility
Year of publication: |
2014
|
---|---|
Authors: | Faria, Gonçalo ; Correira-da-Silva, João |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 17.2014, 2, p. 125-159
|
Subject: | Option pricing | Stochastic volatility | Ambiguity | Stochastischer Prozess | Stochastic process | Experiment | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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