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European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty
Samuel N. Cohen, Martin Tegnér
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Corresponding author for this work
Department of Mathematical Sciences
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Dive into the research topics of 'European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty'. Together they form a unique fingerprint.
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Mathematics
Backward Stochastic Differential Equation
22%
Control Problem
15%
Cover
13%
Empirical Study
21%
European Options
98%
Heston Model
27%
Market
37%
Maximise
17%
Minimise
14%
Model
18%
Numerical Solution
13%
Option Pricing
87%
Parameter Uncertainty
100%
Pricing
20%
Stochastic Volatility Model
98%