Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.aml.2011.04.011 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2087951871 / rank | |||
Normal rank | |||
Revision as of 01:44, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing perpetual American options under a stochastic-volatility model with fast mean reversion |
scientific article |
Statements
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (English)
0 references
11 July 2011
0 references
perturbation method
0 references
perpetual American put options
0 references
fast mean-reverting stochastic volatility
0 references
