A Student's Option Price Decomposition Formula With Applications to Stochastic Volatility Calibration
A formula has been derived for option price in stochastic volatility models, breaking it down into a zero-correlation price and a correlation correction term.
Featured in No. 29 on 13 Dec 2023 · · 0 citations today
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- 1 Sep 2023
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- No. 29 · 13 Dec 2023
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- SSRN 4658060
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