Pricing rule based on non-arbitrage arguments for random volatility and volatility smile
Work
Year: 2002
Type: preprint
Abstract: We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states th... more
Source: arXiv (Cornell University)
Author Nikolai Dokuchaev
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Related to: 10
Citation percentile (by year/subfield):
Subfield: Finance
Domain: Social Sciences
Open Access status: green