Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q315620 |
Changed an Item |
||
| Property / author | |||
| Property / author: Wen-Ting Chen / rank | |||
Normal rank | |||
Revision as of 23:04, 12 February 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
