An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model |
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An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (English)
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26 April 2022
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vulnerable option
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multiscale stochastic volatility
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asymptotic expansion
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Greek Delta
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