Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Jun Hu, Juho Kanniainen (Department of Industrial Management, Tampere University of Technology, Tampere, Finland)
| Year of publication: |
August 2015
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|---|---|
| Authors: | Hu, Jun ; Kanniainen, Juho |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 14.2015, p. 1-10
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| Subject: | Option pricing | Series expansion | PDE | Stochastic volatility | Non-affine models | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011552564