Option pricing with quadratic volatility: a revisit
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References listed on IDEAS
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- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2017.
"Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models,"
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More about this item
KeywordsQuadratic volatility; Strict local martingale; Put and call option pricing; Hitting time densities; Fourier series; Method of images; 91G20; 91G80; 60G40; 60G46; G12; G13;
- 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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