Korean J. Math. Vol. 20 No. 1 (2012) pp.47-60
DOI: https://doi.org/10.11568/kjm.2012.20.1.047

ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL

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Published: Mar 30, 2012

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Jae-pill Oh

Abstract

We deal some analytic calculations for European option
pricing by using the theory of elementary solution of generalized
diffusion equation mainly.



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