caa a22 4500 445363320 CHVBK 20180317142922.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-010-0142-8 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0142-8 Andersen Leif One Bryant Park, NY1-100-06-01, 10036, New York, NY, USA aut Option pricing with quadratic volatility: a revisit [Elektronische Daten] [Leif Andersen] This paper considers the pricing of European options on assets that follow a stochastic differential equation with a quadratic volatility term. We correct several errors in the existing literature, extend the pricing formulas to arbitrary root configurations, and list alternative representations of option pricing formulas to improve computational performance. Our exposition is based entirely on probabilistic arguments, adding a fresh perspective and new intuition to the existing PDE-dominated literature on the subject. Our main tools are martingale methods and shifts of probability measures; the fact that the underlying process is typically a strict local martingale is carefully considered throughout the paper. Springer-Verlag, 2010 Quadratic volatility nationallicence Strict local martingale nationallicence Put and call option pricing nationallicence Hitting time densities nationallicence Fourier series nationallicence Method of images nationallicence Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 191-219 0949-2984 15:2<191 2011 15 780 https://doi.org/10.1007/s00780-010-0142-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0142-8 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Andersen Leif One Bryant Park, NY1-100-06-01, 10036, New York, NY, USA aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 191-219 0949-2984 15:2<191 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer