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Option pricing with quadratic volatility: a revisit

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  • Leif Andersen

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0142-8
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 2 (June)
    Pages: 191-219

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:191-219

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    Related research

    Keywords: Quadratic volatility; Strict local martingale; Put and call option pricing; Hitting time densities; Fourier series; Method of images; 91G20; 91G80; 60G40; 60G46; G12; G13;

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    References

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    1. Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(4), pages 235-262.
    2. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, Finance Press, number ovsv.
    3. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 17(04), pages 533-554, November.
    4. Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 211-19, March.
    5. Leif Andersen & Jesper Andreasen, 2000. "Volatility skews and extensions of the Libor market model," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(1), pages 1-32.
    6. Alexander Cox & David Hobson, 2005. "Local martingales, bubbles and option prices," Finance and Stochastics, Springer, Springer, vol. 9(4), pages 477-492, October.
    7. Sven Rady, 1997. "Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)," Finance and Stochastics, Springer, Springer, vol. 1(4), pages 331-344.
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    Cited by:
    1. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Explicit implied vols for multifactor local-stochastic vol models," Papers 1306.5447, arXiv.org, revised Mar 2014.
    2. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, Springer, vol. 18(1), pages 115-144, January.
    3. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, Elsevier, vol. 179(2), pages 158-177.

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