Option pricing with mean reversion and stochastic volatility
From MaRDI portal
Publication:1011280
DOI10.1016/j.ejor.2008.05.014zbMath1157.91375OpenAlexW2911234796MaRDI QIDQ1011280
Publication date: 8 April 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2008.05.014
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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