OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749): Difference between revisions

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Latest revision as of 08:24, 30 July 2024

scientific article; zbMATH DE number 7413996
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English
OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL
scientific article; zbMATH DE number 7413996

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    OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (English)
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    26 October 2021
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    fractional Brownian motion
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    stochastic volatility
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    Malliavin calculus
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    option pricing
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