Exchange option pricing under stochastic volatility : a correlation expansion
F. Antonelli; A. Ramponi; S. Scarlatti
| Year of publication: |
2010
|
|---|---|
| Authors: | Antonelli, Fabio ; Ramponi, A. ; Scarlatti, S. |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 13.2010, 1, p. 45-73
|
| Subject: | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
| 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://ebvufind01.dmz1.zbw.eu/10008695501