Option pricing during post-crash relaxation times
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial different...
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| Format: | article |
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2007
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| Online Access: | http://hdl.handle.net/10725/3531 http://dx.doi.org/10.1016/j.physa.2007.02.082 http://www.sciencedirect.com/science/article/pii/S0378437107001847 |
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