Asymptotics for option pricing in stochastic volatility environment (Q3407385)
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scientific article; zbMATH DE number 5677394
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Asymptotics for option pricing in stochastic volatility environment |
scientific article; zbMATH DE number 5677394 |
Statements
4 March 2010
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fractional Brownian motion
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Ornstein-Uhlenbeck process
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fractional Itô-integral
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stochastic differential equation, Black-Scholes equation
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European call option
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0.8893736004829407
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0.8536396026611328
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0.8282200694084167
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0.8213513493537903
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