Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388): Difference between revisions
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| Property / DOI: 10.1007/s11009-018-9650-3 / rank | |||
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| Property / DOI: 10.1007/S11009-018-9650-3 / rank | |||
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Latest revision as of 08:13, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth |
scientific article |
Statements
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (English)
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26 April 2019
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option pricing
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stochastic volatility
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Black-Scholes model
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Wiener process
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discontinuous payoff function
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polynomial growth
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rate of convergence
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discretization
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conditioning
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Malliavin calculus
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stochastic derivative
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Skorokhod integral
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