Why Are Quadratic Normal Volatility Models Analytically Tractable?
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/120871973
Reference20 articles.
1. Option pricing with quadratic volatility: a revisit
2. On the Transformation of Diffusion Processes into the Wiener Process
3. On Mapping Linear Partial Differential Equations to Constant Coefficient Equations
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