Option pricing with quadratic volatility: a revisit
| Year of publication: |
2011
|
|---|---|
| Authors: | Andersen, Leif |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 2, p. 191-219
|
| Publisher: |
Springer |
| Subject: | Quadratic volatility | Strict local martingale | Put and call option pricing | Hitting time densities | Fourier series | Method of images |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009149760