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- W2372011334 abstract "This paper studies the pricing of Foreign Equity Options on Stochastic Vatility models. By using martingale pricing methods and Feynman-Kac formula, we showed the stochastic differential equation which the options must be satisfied and the general pricing expressions. Further more, when the stochastic vatility is Geometric Brown motion, by means of martingale analysis, the general pricing formula is obtained." @default.
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- W2372011334 date "2007-01-01" @default.
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- W2372011334 title "Foreign Equity Options Pricing with Stochastic Vatility" @default.
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