A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6833180
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A multiscale extension of the Margrabe formula under stochastic volatility |
scientific article; zbMATH DE number 6833180 |
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
0 references
0 references
0.7957519292831421
0 references
0.7901868224143982
0 references
0.774681568145752
0 references
0.7698465585708618
0 references
