A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multiscale extension of the Margrabe formula under stochastic volatility |
scientific article |
Statements
A multiscale extension of the Margrabe formula under stochastic volatility (English)
0 references
1 February 2018
0 references
Margrabe's formula
0 references
exchange option
0 references
stochastic volatility
0 references
multiscale
0 references
Greeks
0 references
