Path dependent volatility

Paolo Foschi and Andrea Pascucci ()

Decisions in Economics and Finance, 2008, vol. 31, issue 1, pages 13-32

Keywords: Option pricing; Kolmogorov equations; Volatility modeling; CO2; 35K65; 91B28 (search for similar items in EconPapers)
Date: 2008
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Working Paper: Path dependent volatility (2006)
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