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- W3124364041 abstract "We discuss the class of Normal models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from stopped Brownian motion by a simple transformation and a change of measure that only depends on the terminal value of the stopped Brownian motion. This explains the existence of explicit analytic formulas for option prices within Quadratic Normal Volatility models in the academic literature." @default.
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- W3124364041 date "2013-03-01" @default.
- W3124364041 modified "2023-09-27" @default.
- W3124364041 title "Why are quadratic normal volatility models analytically tractable" @default.
- W3124364041 hasPublicationYear "2013" @default.
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