Option pricing with quadratic volatility: a revisit.
Leif AndersenPublished in: Finance Stochastics (2011)
Keyphrases
- option pricing
- stock price
- stock market
- black scholes
- non stationary
- financial markets
- stock exchange
- historical data
- exchange rate
- financial data
- computational complexity
- news articles
- objective function
- capital budgeting
- financial time series
- long term
- black scholes model
- decision analysis
- real option
- sensitivity analysis