Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
Mei Choi Chiu; Yu Wai Lo; Hoi Ying Wong
| Year of publication: |
2011
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|---|---|
| Authors: | Chiu, Mei Choi ; Lo, Yu Wai ; Wong, Hoi Ying |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 39.2011, 4, p. 289-295
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| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009295639