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Section B

Option pricing under model involving slow growth volatility

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Pages 2770-2781 | Received 08 Jun 2010, Accepted 03 Jan 2011, Published online: 14 Jun 2011

References

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  • Zuhlsdorf , C. 2001 . The pricing of derivatives on assets with quadratic volatility . Appl. Math. Finan. , 8 ( 4 ) : 235 – 262 .

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