CCF approach for asymptotic option pricing under the CEV diffusion (Q5030626)
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scientific article; zbMATH DE number 7476012
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CCF approach for asymptotic option pricing under the CEV diffusion |
scientific article; zbMATH DE number 7476012 |
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CCF approach for asymptotic option pricing under the CEV diffusion (English)
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17 February 2022
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conditional characteristic function (CCF)
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asymptotic expansion
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CEV process
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Fourier analysis
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Bermudan options
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