The pricing of derivatives on assets with quadratic volatility
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References listed on IDEAS
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" Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates,"
Journal of Finance,
American Finance Association, vol. 52(1), pages 409-430, March.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
- Leif Andersen, 2011. "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, vol. 15(2), pages 191-219, June.
More about this item
KeywordsStrong Solutions; Stochastic Differential Equation; Option Pricing; Quadratic Volatility; Implied Volatility; Smiles; Frowns;
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