Keywords
Incomplete marketsBlack–Scholes modelValuation of optionsMean reversionEconomicsMartingale (probability theory)ImpossibilityImplied volatilityVolatility (finance)Mathematical economicsCorporate financeMartingale pricingEconometricsStochastic volatilityFinancial economicsMathematicsFinanceMartingale difference sequenceApplied mathematicsMicroeconomics
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Publication Info
- Year
- 1994
- Type
- article
- Volume
- 4
- Issue
- 1
- Pages
- 5-17
- Citations
- 40
- Access
- Closed
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Cite This
Larry Eisenberg,
Robert A. Jarrow
(1994).
Option pricing with random volatilities in complete markets.
Review of Quantitative Finance and Accounting
, 4
(1)
, 5-17.
https://doi.org/10.1007/bf01082661
Identifiers
- DOI
- 10.1007/bf01082661