Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (Q5388679): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| (3 intermediate revisions by 3 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3103381783 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1007.4361 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 01:52, 20 April 2024
scientific article; zbMATH DE number 6025777
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models |
scientific article; zbMATH DE number 6025777 |
Statements
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (English)
0 references
19 April 2012
0 references
stochastic volatility
0 references
fast mean-reversion
0 references
spectral theory
0 references
options
0 references
approximate price
0 references
