| http://www.w3.org/ns/prov#value | - Ve??e?? and Xu [4] extended the method of removing path correlation to the case in a semimartingale model and obtained the partial differential equation of the option value under the standard Brownian motion.However, the empirical analysis shows that there is a long-term correlation between the underlying asset prices, so that the geometric Brownian motion is not considered as an ideal tool to des
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