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.
- 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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- Christian Zühlsdorff, 2002. "The Pricing of Derivatives on Assets with Quadratic Volatility," Bonn Econ Discussion Papers bgse5_2002, University of Bonn, Germany.
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- Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney.
- Leif Andersen, 2011. "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, vol. 15(2), pages 191-219, June.
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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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