FS
2010
13 years 10 months ago
2010
FS
2010
13 years 10 months ago
2010
FS
2010
13 years 10 months ago
2010
Abstract Consider discrete time observations (X δ)1≤ ≤n+1 of the process X satisfying dXt = √ VtdBt, with Vt a one-dimensional positive diffusion process independent of the...
FS
2010
13 years 10 months ago
2010
Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
FS
2010
13 years 10 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...