Comparison results for stochastic volatility models via coupling
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 14 (2010)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60J - - - - - -
- 60G - - - - - -
- 91B - - - - - -
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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Rodney L. White Center for Financial Research Working Papers
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- Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
- T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 2(2), pages 117-133.
- Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised Oct 2013.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
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