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http://dx.doi.org/10.11568/kjm.2012.20.1.047

ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL  

Oh, Jae-Pill (Department of Mathematics Kangweon National University)
Publication Information
Korean Journal of Mathematics / v.20, no.1, 2012 , pp. 47-60 More about this Journal
Abstract
We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.
Keywords
SDE; volatility asset model; diffusion process; elementary solution of diffusion equation; European option pricing;
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  • Reference
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