Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435)
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scientific article; zbMATH DE number 6192624
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| default for all languages | No label defined |
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| English | Option price with stochastic volatility for both fast and slow mean-reverting regimes |
scientific article; zbMATH DE number 6192624 |
Statements
Option price with stochastic volatility for both fast and slow mean-reverting regimes (English)
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30 July 2013
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Heston model
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option pricing
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mean-reverting regime
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approximation
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0.8355156779289246
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0.8114137649536133
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0.8080217242240906
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0.8063924312591553
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