CEV Model with Stochastic Volatility
This paper develops a systematic method for calculating approximate prices for a wide range of securities implying the tools of spectral analysis, singular and regular perturbation theory. Price options depend on stochastic volatility, which may be multiscale, in the sense that it may be driven by o...
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| Main Authors: | , |
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| Format: | Book |
| Published: |
Vasyl Stefanyk Precarpathian National University,
2019-12-01T00:00:00Z.
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