Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems
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DOI: 10.1016/j.physa.2014.03.030
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Keywords
Fokker–Planck equation; Stochastic volatility models; Option pricing; Singular Lagrangian systems; Dirac’s method; Constrained Hamiltonian path integrals;All these keywords.
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