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- W3122885384 abstract "We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation between the volatility and the noise driving the stock prices, the market price of volatility risk and the difference of the expected future volatility at different times. We also study some applications of this decomposition." @default.
- W3122885384 created "2021-02-01" @default.
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- W3122885384 date "2003-02-01" @default.
- W3122885384 modified "2023-09-23" @default.
- W3122885384 title "A general decomposition formula for derivative prices in stochastic volatility models" @default.
- W3122885384 hasPublicationYear "2003" @default.
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