A Gaussian approximation scheme for computation of option prices in stochastic volatility models
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Publication:295695
DOI10.1016/j.jeconom.2008.07.002zbMath1418.62376OpenAlexW2035047553MaRDI QIDQ295695
A. Ronald Gallant, Beom S. Lee, Chuanshu Ji, Ai-ru Cheng
Publication date: 13 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.07.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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