Showing 1 - 10 of 65
Persistent link: https://www.econbiz.de/10010254960
Persistent link: https://www.econbiz.de/10009424800
Persistent link: https://www.econbiz.de/10012001122
Persistent link: https://www.econbiz.de/10011642221
Persistent link: https://www.econbiz.de/10014383870
Persistent link: https://www.econbiz.de/10011333428
Persistent link: https://www.econbiz.de/10011338705
Persistent link: https://www.econbiz.de/10011619975
This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a partially elliptic...
Persistent link: https://www.econbiz.de/10013063101
Persistent link: https://www.econbiz.de/10012616192