PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE
CAMPOLIETI, GIUSEPPE, MAKAROV, ROMANVolume:
10
Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024907004081
Date:
February, 2007
File:
PDF, 527 KB
english, 2007