Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
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References listed on IDEAS
- Sondermann, Dieter, 1987. "Currency options: Hedging and social value," European Economic Review, Elsevier, vol. 31(1-2), pages 246-256.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
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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.
- repec:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375 is not listed on IDEAS
- 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.
- Martin HERDEGEN & Martin SCHWEIZER, 2015. "Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)," Swiss Finance Institute Research Paper Series 15-05, Swiss Finance Institute.
- Christian Zuhlsdorff, 2001. "The pricing of derivatives on assets with quadratic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 235-262.
- 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.
- Peter Carr & Travis Fisher & Johannes Ruf, 2012. "Why are quadratic normal volatility models analytically tractable?," Papers 1202.6187, arXiv.org, revised Mar 2013.
- Erik Schlogl, 2018. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Papers 1806.08107, arXiv.org.
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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