Additive logistic processes in option pricing
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DOI: 10.1007/s00780-021-00461-8
Abstract: In option pricing, it is customary to first specify a stochastic underlying model and then extract valuation equations from it. However, it is possible to reverse this paradigm: starting from an arbitrage-free option valuation formula,… read more here.
Keywords: logistic processes; option; additive logistic; option pricing ... See more keywords