A Variational Formulation of European Option Prices in the 1‐Hypergeometric Stochastic Volatility Model
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DOI: 10.1002/mma.70075
Abstract: The paper proposes a variational analysis of the 1‐hypergeometric stochastic volatility model for pricing European options. The methodology involves the derivation of estimates of the weak solution in a weighted Sobolev space. The weight is… read more here.
Keywords: hypergeometric stochastic; stochastic volatility; model; variational formulation ... See more keywords