Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.crma.2013.05.008 / rank | |||
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| Property / OpenAlex ID: W2068647149 / rank | |||
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| Property / cites work | |||
| Property / cites work: Q4940095 / rank | |||
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| Property / cites work: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives / rank | |||
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| Property / cites work: Option prices under stochastic volatility / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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Latest revision as of 17:15, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option price with stochastic volatility for both fast and slow mean-reverting regimes |
scientific article |
Statements
Option price with stochastic volatility for both fast and slow mean-reverting regimes (English)
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30 July 2013
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Heston model
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option pricing
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mean-reverting regime
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approximation
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