Exact solution of a martingale stochastic volatility option problem and its empirical evaluation

Mathematical Finance

Volumn 17, Issue 2, 2007, Pages 249-265

  Maghsoodi, Y ^a  

^a Scinance Analytics ^*

Author keywords

Exact solution; Futures and option pricing; Implied volatility; Laplace Girsanov transform; Measure change; Stochastic volatility

Indexed keywords

EID: 33947320156     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00302.x     Document Type: Article

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