Stochastic volatility models at as second class constrained Hamiltonian systems-Reference-Cited by-同舟云学术

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Stochastic volatility models at as second class constrained Hamiltonian systems

Published:2014-07 Issue: Volume:405 Page:289-302
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Contreras G. Mauricio

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference28 articles.

1. Paul Wilmott on Quantitative Finance;Paul,2000

2. The Volatility Surface;Jim,2006

3. A close form solution for option with stochastic volatility, with applications to bond and currency options;Heston;Rev. Financ. Stud.,1993

4. Notes on Option Pricing I: Constant Elasticity of Diffusions. Unpublished Draft;Cox,1975

5. Further results of the constant elasticity of variance call option pricing model;Emanuel;J. Financ. Quant. Anal.,1984

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