A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES (Q4286354): Difference between revisions
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scientific article; zbMATH DE number 540558
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES |
scientific article; zbMATH DE number 540558 |
Statements
A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES (English)
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27 March 1994
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stochastic volatility model
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Black-Scholes model
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Markov chain
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discrete state space
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