Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574)
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scientific article; zbMATH DE number 7567421
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| English | Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility |
scientific article; zbMATH DE number 7567421 |
Statements
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (English)
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3 August 2022
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stochastic volatility
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closed-form expansion
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closed-form approximation
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Heston
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GARCH
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0.8176997900009155
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0.7650575637817383
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0.7644156217575073
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0.7570913434028625
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0.7565735578536987
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