INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
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Publication:4602498
DOI10.1142/S0219024917500558zbMath1395.91436OpenAlexW2779516117MaRDI QIDQ4602498
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Publication date: 11 January 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500558
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
A general framework for time-changed Markov processes and applications ⋮ PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ A Markov chain approximation scheme for option pricing under skew diffusions
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