Exchange option pricing under stochastic volatility: a correlation expansion
| Year of publication: |
2010
|
|---|---|
| Authors: | Antonelli, F. ; Ramponi, A. ; Scarlatti, S. |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 1, p. 45-73
|
| Publisher: |
Springer |
| Subject: | Options | Stochastic volatility | SDE’s | PDE’s | Margrabe’s formula |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010867543