The use of power numeraires in option pricing (Q1728170)
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scientific article; zbMATH DE number 7027503
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The use of power numeraires in option pricing |
scientific article; zbMATH DE number 7027503 |
Statements
The use of power numeraires in option pricing (English)
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22 February 2019
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COS method
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change of numeraire
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barrier options
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Heston model
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0.7761189937591553
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0.7696439623832703
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0.7596238851547241
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0.759166955947876
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0.7498878240585327
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