A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337): 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/10.1007/s11579-020-00281-y / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3094105199 / rank | |||
Normal rank | |||
Revision as of 00:03, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean |
scientific article |
Statements
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (English)
0 references
5 May 2021
0 references
stochastic volatility
0 references
stochastic long-term mean
0 references
closed-form
0 references
European options
0 references
risk management
0 references
empirical studies
0 references
