AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753): Difference between revisions

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Revision as of 22:32, 26 July 2024

scientific article; zbMATH DE number 7413999
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English
AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER
scientific article; zbMATH DE number 7413999

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    AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (English)
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    26 October 2021
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    option pricing
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    mean-reverting process
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    Feynman-Kac formula
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