Option pricing under hybrid stochastic and local volatility (Q5397448)
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scientific article; zbMATH DE number 6260398
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Option pricing under hybrid stochastic and local volatility |
scientific article; zbMATH DE number 6260398 |
Statements
Option pricing under hybrid stochastic and local volatility (English)
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20 February 2014
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option pricing model
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stochastic volatility
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constant elasticity of variance
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CEV formula
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asymptotic option pricing
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error estimate
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