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A key advance by Bayly & Childress (1989) was to realise that the adjoint op-erator Tε (working in the space of L.

By a definable (or semialgebraic) group over K we mean a groupwhose universe is a definable subset of some Kn and whose group op-eration is definable.

23] Schweizer M 2001 A guided tour through quadratic hedging approaches In: Op-tion Pricing, Interest Rates and Risk Management (eds: Jouini E, Cvitanić J andMusiela M), pp.

12] Henderson V, Hobson D, Howison S, Kluge T 2004 A comparison of q-optimal op-tion prices in a stochastic volatility model with correlation 2004 Review of Deriva-tives Research ... 25] Schweizer M 2001 A guided tour through quadratic hedging approaches

While model uncertainty is acknowledged by most op-erators who make use of quantitative models, most of the discussion on thissubject has stayed at a qualitative level and a quantitative framework

Given prices CM of call op-. tions, find Q ML, such that. ... This result confirms theempirical observations made in [14]. 7. Conclusion. We have proposed here a stable method for constructing an op-tion pricing model of exponential Lévy type,

If P is a minimal parabolic subgroup and the characteristic of theunderlying field is p > 0, then O′p(P/Op(P )) ' SL2. ... If P is a parabolic sub-group containing exactly two proper parabolic subgroups, then O′p(P/Op(P ))is a semisimple algebraic

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One of the attractive features of perpetual op-tions is that one can obtain explicit analytic expressions for their values.

u(t, x), x M , be the lowest eigenfunction of the Schrödinger op-erator R 1.