The Pricing of Derivatives on Assets with Quadratic Volatility
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More about this item
Keywords
strong solutions; stochastic differential equation; option pricing; quadratic volatility; implied volatility; smiles; frowns;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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