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The Fundamental Transform (Excerpt)

In: Option Valuation under Stochastic Volatility

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Abstract

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.

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This chapter was published in:

  • Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, July.
    This item is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number ch2.

    Handle: RePEc:vsv:svbook:ch2

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    Related research

    Keywords: option pricing; stochastic volatility; equilibrium; smile; term structure; implied volatility; eigenvalue; variational; Mathematica; GARCH diffusion; local martingale;

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