CTMC integral equation method for American options under stochastic local volatility models (Q2246620): Difference between revisions
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Revision as of 01:06, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CTMC integral equation method for American options under stochastic local volatility models |
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CTMC integral equation method for American options under stochastic local volatility models (English)
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16 November 2021
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continuous-time Markov chains
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stochastic local volatility models
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American option pricing
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early exercise premium
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integral equation
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