Correlations and bounds for stochastic volatility models
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Publication:877000
DOI10.1016/j.anihpc.2005.05.007zbMath1108.62110OpenAlexW2011569301MaRDI QIDQ877000
Pierre-Louis Lions, Marek Musiela
Publication date: 19 April 2007
Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPC_2007__24_1_1_0
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91Gxx)
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