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Computing the implied volatility in stochastic volatility models

delete2004-07-26
delete118
PRE
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H
Henri Berestycki
J
Jérôme Busca
I
Igor Florent
DOI:10.1002/cpa.20039delete
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Abstract

Abstract

En
Keywords:
HAMILTON-JACOBI EQUATIONS
VISCOSITY SOLUTIONS
UNIQUENESS
OPTIONS
FINANCE
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Journal

Communications on Pure and Applied Mathematics cover
Communications on Pure and Applied Mathematics
IF:
2.7
Papers:
1.5K
Citations:
1.1W

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