A stochastic local volatility technique for TARN options (Q5030544)
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scientific article; zbMATH DE number 7475940
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic local volatility technique for TARN options |
scientific article; zbMATH DE number 7475940 |
Statements
A stochastic local volatility technique for TARN options (English)
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17 February 2022
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option pricing
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TARN
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stochastic local volatility
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partial differential equations model
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alternating directions scheme
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