A general decomposition formula for derivative prices in stochastic volatility models
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References listed on IDEAS
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- Elisa Alòs, 2004. "A generalization of Hull and White formula and applications to option pricing approximation," Economics Working Papers 740, Department of Economics and Business, Universitat Pompeu Fabra.
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More about this item
Keywords
Continuous-time option pricing model; stochastic volatility; Ito's formula; incomplete markets;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2004-05-26 (Finance)
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