A finite element approach to the pricing of discrete lookbacks with stochastic volatility (Q4541570): Difference between revisions

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Latest revision as of 11:06, 4 June 2024

scientific article; zbMATH DE number 1771966
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English
A finite element approach to the pricing of discrete lookbacks with stochastic volatility
scientific article; zbMATH DE number 1771966

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    A finite element approach to the pricing of discrete lookbacks with stochastic volatility (English)
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    4 September 2002
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    lookback options
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    stochastic volatility
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    boundary equations
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    option price
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