Probability distribution and option pricing for drawdown in a stochastic volatility environment (Q3564997)
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scientific article; zbMATH DE number 5712996
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| English | Probability distribution and option pricing for drawdown in a stochastic volatility environment |
scientific article; zbMATH DE number 5712996 |
Statements
PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT (English)
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27 May 2010
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drawdown
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stochastic voaltility
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singular perturbation
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0.7711084485054016
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0.760453999042511
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0.7593851685523987
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0.7413685321807861
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0.7365984916687012
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