AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753)
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scientific article; zbMATH DE number 7413999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER |
scientific article; zbMATH DE number 7413999 |
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AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (English)
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26 October 2021
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option pricing
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mean-reverting process
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Feynman-Kac formula
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