AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1017/s1446181121000262 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W4246844209 / rank | |||
Normal rank | |||
Latest revision as of 10:40, 30 July 2024
scientific article; zbMATH DE number 7413999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER |
scientific article; zbMATH DE number 7413999 |
Statements
AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (English)
0 references
26 October 2021
0 references
option pricing
0 references
mean-reverting process
0 references
Feynman-Kac formula
0 references
0 references
0 references
0 references
0 references
0 references
