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Should Stochastic Volatility Matter to the Cost-Constrained Investor?


  • Scott M. Weiner


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  • Scott M. Weiner, 2004. "Should Stochastic Volatility Matter to the Cost-Constrained Investor?," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 131-139.
  • Handle: RePEc:bla:mathfi:v:14:y:2004:i:1:p:131-139

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    References listed on IDEAS

    1. Heath, David & Jarrow, Robert & Morton, Andrew, 1990. "Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 419-440, December.
    2. Patrick Navatte & Fran├žois Quittard‐Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," European Financial Management, European Financial Management Association, vol. 5(3), pages 425-440.
    3. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305 World Scientific Publishing Co. Pte. Ltd..
    5. Les Clewlow & Chris Strickland, 1998. "Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models," Research Paper Series 2, Quantitative Finance Research Centre, University of Technology, Sydney.
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