𝔖 Bobbio Scriptorium
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Stochastic volatility and option pricing

✍ Scribed by Gkamas, D.


Book ID
111676607
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
453 KB
Volume
1
Category
Article
ISSN
1469-7688

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## Abstract This paper investigates the valuation of currency options when the underlying currency follows a mean‐reverting lognormal process with multi‐scale stochastic volatility. A closed‐form solution is derived for the characteristic function of the log‐asset price. European options are then v