Path-dependent option pricing based on stochastic volatility model

DOI10.13383/J.CNKI.JSE.2017.02.010MaRDI QIDQ3132145zbMATH OpenFDO

Authors Pengshi Li, Jianhui Yang

Publication date 29 January 2018

Full work available at URL https://doi.org/10.13383/J.CNKI.JSE.2017.02.010

zbMATH Keywords

path-dependent optionssingular perturbationstochastic volatility model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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