Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533): Difference between revisions

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Latest revision as of 18:40, 15 July 2024

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Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
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    Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (English)
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    31 May 2018
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    Stein and Stein model
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    correlated Brownian motions
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    moments
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    squared radial Ornstein-Uhlenbeck process
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    Mellin transform
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    fast Fourier transform
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    power options
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    self-quanto options
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