Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435): Difference between revisions
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| Property / author: Qiang Zhang / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 34F05 / rank | |||
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| Property / zbMATH DE Number: 6192624 / rank | |||
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Heston model | |||
| Property / zbMATH Keywords: Heston model / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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mean-reverting regime | |||
| Property / zbMATH Keywords: mean-reverting regime / rank | |||
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approximation | |||
| Property / zbMATH Keywords: approximation / rank | |||
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Revision as of 09:47, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option price with stochastic volatility for both fast and slow mean-reverting regimes |
scientific article |
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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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