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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- Christian Zuehlsdorff, 1999. "The Pricing of Derivatives on Assets with Quadratic Volatility," Discussion Paper Serie B 451, University of Bonn, Germany.
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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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