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Abstract Details

Activity Number: 467
Type: Contributed
Date/Time: Wednesday, August 1, 2012 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistics in Marketing
Abstract - #304447
Title: Closed-Form of PDEs with Stochastic Volatility
Author(s): Hui Gong*+ and Aerambamoorthy Thavaneswaran and D. Kalajdzievska
Companies: Valparaiso University and University of Manitoba and University of Manitoba
Address: 1904 Chicago St, Valparaiso, IN, 46383, United States
Keywords: Partial Differential Equation ; Stochastic Volatility Models ; Characteristic Function

Recently there has been a growing interest in using stochastic volatility models in option pricing. In this paper, we present a united theory to obtain closed-form expressions of conditional characteristic functions for option pricing for several stochastic volatility models.

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