Path dependent volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10203-007-0076-6.pdf
Reference28 articles.
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4. Blaka Hallulli, V., Vargiolu, T.: Financial models with dependence on the past: a survey. [Applied and Industrial Mathematics in Italy.] In: Primicerio, M., Spigler, R., Valente V. (eds.)] Series on Advances in Mathematics for Applied Sciences. World Scientific 2005, Vol. 69 (2005)
5. Carr P. and Madan D. (1999). Option pricing and the fast fourier transform. J. Computat. Finance 2(4): 61–73
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