Fitting prices with a complete model
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 30 (2006)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/jbf
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- Jin-Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
- Sergio Pastorello, 1996. "Diffusion Coefficient Estimation And Asset Pricing When Risk Premia And Sensitivities Are Time Varying: A Comment," Mathematical Finance, Wiley Blackwell, vol. 6(1), pages 111-117.
- Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
- Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
- Mauro Rosestolato & Tiziano Vargiolu & Giovanna Villani, 2013. "Robustness for path-dependent volatility models," Decisions in Economics and Finance, Springer, vol. 36(2), pages 137-167, November.
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