A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY (Q5051212)
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scientific article; zbMATH DE number 7621937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 7621937 |
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A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY (English)
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22 November 2022
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double stochastic volatility
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exchange options
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Feynman-Kac theorem
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Heston's stochastic volatility
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