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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models.

Jean-Pierre FouqueSebastian JaimungalMatthew J. Lorig
Published in: SIAM J. Financial Math. (2011)
Keyphrases
  • spectral decomposition
  • probabilistic model
  • model selection
  • social networks
  • graph structures