Vanilla Option Pricing on Stochastic Volatility market models
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- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Roger Lord & Remmert Koekkoek & Dick Van Dijk, 2010.
"A comparison of biased simulation schemes for stochastic volatility models,"
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- Roger Lord & Remmert Koekkoek & Dick van Dijk, 2006. "A Comparison of Biased Simulation Schemes for Stochastic Volatility Models," Tinbergen Institute Discussion Papers 06-046/4, Tinbergen Institute, revised 07 Jun 2007.
- Vladimir Piterbarg, 2005. "Stochastic Volatility Model with Time-dependent Skew," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 147-185.
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KeywordsVanilla Option pricing on Stochastic volatility market models;
- G1 - Financial Economics - - General Financial Markets
- C0 - Mathematical and Quantitative Methods - - General
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