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Volumn 7, Issue 5, 2007, Pages 525-535

Solvable local and stochastic volatility models: Supersymmetric methods in option pricing

Author keywords

Differential geometry; Solvable diffusion process; Supersymmetry

Indexed keywords


EID: 35148823048     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680601103045     Document Type: Article
Times cited : (22)

References (16)
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  • 5
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    • Cooper, F.1    Khare, A.2    Sukhatme, U.3
  • 6
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    • Notes on option pricing I: Constant elasticity of variance diffusions
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    • Cox, J.C.1
  • 7
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    • Cox, J.C., Ingersoll, J.E. and Ross, S.A., A theory of the term structure of interest rates. Econometrica, 1985, 53, 385-407.
    • (1985) Econometrica , vol.53 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 8
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility with applications to bond and currency options
    • Heston, S., A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ Stud., 1993, 6, 327-343.
    • (1993) Rev. Financ Stud , vol.6 , pp. 327-343
    • Heston, S.1
  • 9
    • 0000520090 scopus 로고
    • Pricing interest rate derivative securities
    • Hull, J. and White, A., Pricing interest rate derivative securities. Rev. Financ. Stud., 1990, 3, 573-592.
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    • Hull, J.1    White, A.2
  • 13
    • 7444249563 scopus 로고    scopus 로고
    • The spectral decomposition of the option value
    • Linetsky, V., The spectral decomposition of the option value. Int. J. Theoret. Appl. Finance, 2004, 7, 337-384.
    • (2004) Int. J. Theoret. Appl. Finance , vol.7 , pp. 337-384
    • Linetsky, V.1
  • 14
    • 0032363537 scopus 로고    scopus 로고
    • On the Liouville tranformation and exactly-solvable Schrödinger equations
    • solv-int/9706007
    • Milson, R., On the Liouville tranformation and exactly-solvable Schrödinger equations. Int. J. Math., 1998, 37, 1735-1752 (solv-int/9706007).
    • (1998) Int. J. Math , vol.37 , pp. 1735-1752
    • Milson, R.1
  • 15
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    • Study of one-dimensional Schrödinger equation generated from the hypergeometric equation
    • 22 ArXiv:physics/9907032
    • Natanzon, G.A., Study of one-dimensional Schrödinger equation generated from the hypergeometric equation. Vestn. Leningradskogo Univ., 1971, 10, 22 (ArXiv:physics/9907032).
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    • Natanzon, G.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.