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Singular risk-neutral valuation equations

  • Cristina Costantini

    ()

  • Marco Papi

    ()

  • Fernanda D’Ippoliti
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s00780-011-0166-8
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 16 (2012)
    Issue (Month): 2 (April)
    Pages: 249-274

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    Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:249-274
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    1. 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.
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    3. David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
    4. Laura Monti & Andrea Pascucci, 2009. "Obstacle problem for Arithmetic Asian options," Papers 0910.4257, arXiv.org.
    5. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
    6. Andrea Pascucci, 2008. "Free boundary and optimal stopping problems for American Asian options," Finance and Stochastics, Springer, vol. 12(1), pages 21-41, January.
    7. 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.
    8. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.
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