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Showing 1 to 1 of 1 for “"Call Option Mixture"”.
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Stochastic Volatility Models for Contingent Claim Pricing and Hedging
… securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility curve. To achieve this we also propose …