Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
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References listed on IDEAS
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- Martin Herdegen & Martin Schweizer, 2016. "Strong Bubbles And Strict Local Martingales," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-44, June.
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- Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
- Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
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More about this item
KeywordsOption pricing; bond options; change-of-numeraire technique; diffusion process; quadratic diffusion terms;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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