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October 31, 2014

Canadian Excellence

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G. (Joe) Campolieti

Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge (revised version)


G. Campolieti, R. Makarov

published: 2005 | Research publication | Papers

Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge (revised version)

Download: PDF (460k) bridge_v2.pdf

revised Nov 24/10

View all G. (Joe) Campolieti documents