Singular risk-neutral valuation equations
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Volume (Year): 16 (2012)
Issue (Month): 2 (April)
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References listed on IDEAS
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- Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
- Massimo Bernaschi & Maya Briani & Marco Papi & Davide Vergni, 2007. "Scenario-generation methods for an optimal public debt strategy," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 217-229.
- Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.
- Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
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