Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (Q5225364)
From MaRDI portal
scientific article; zbMATH DE number 7083798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate |
scientific article; zbMATH DE number 7083798 |
Statements
Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (English)
0 references
22 July 2019
0 references
timer option pricing
0 references
stochastic volatility model
0 references
risk neutral measure
0 references
\(\Delta\)-hedging
0 references
time-varying interest rate
0 references
0 references
