PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593)
From MaRDI portal
scientific article; zbMATH DE number 7206829
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 7206829 |
Statements
PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (English)
0 references
2 June 2020
0 references
extendable options
0 references
Heston model
0 references
fast Fourier transform
0 references
finite difference method
0 references
Monte Carlo simulation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
