Applications of additive subordination in derivatives pricing
An important problem in mathematical finance is to develop option pricing models that are able to capture implied volatility “smile” or “skew” commonly observed in financial markets. Many existing models are based on time-homogeneous Markov processes and they often have difficulty in calibrating imp...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2015
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| Online Access: | http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291258 |