On the pricing formula for the perpetual American volatility option under the mean-reverting processes (Q2233615)
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scientific article; zbMATH DE number 7408213
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| English | On the pricing formula for the perpetual American volatility option under the mean-reverting processes |
scientific article; zbMATH DE number 7408213 |
Statements
On the pricing formula for the perpetual American volatility option under the mean-reverting processes (English)
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11 October 2021
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free boundary problem
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American volatility options
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neural network approach
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0.8494976758956909
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0.8241077065467834
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0.8129153251647949
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0.8086714744567871
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