A closed-form solution for options with stochastic volatility with applications to bond and currency options (Q3374320)
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 5010689
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A closed-form solution for options with stochastic volatility with applications to bond and currency options |
scientific article; zbMATH DE number 5010689 |
Statements
9 March 2006
0 references
correlation
0 references
stochastic interest rates
0 references
characteristic functions
0 references
0.9999988675117492
0 references
0.847694993019104
0 references
