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An alternative form to calibrate the correlated Stein-Stein option pricing model

He, XJ; Zhu, SP

He, XJ (reprint author), Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW 2522, Australia.

COMPUTATIONAL & APPLIED MATHEMATICS, 2019; 38 (2):

Abstract

In this paper, we present an alternative form of the correlated Stein-Stein option pricing model, which preserves the analytic tractability of the ori......

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