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Type: BOOK - Published: 1999 - Publisher:
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Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jum
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Type: BOOK - Published: 2015 - Publisher:
The mispricing of the deep-in-the money and deep-out-the-money generated by the Black-Scholes (1973) model is now well documented in the literature. In this pap
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We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our result
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Type: BOOK - Published: 1986 - Publisher: