Pricing of derivatives on mean-reverting assets
DOI10.1007/978-3-642-02909-7zbMATH Open1177.91004OpenAlexW616693435MaRDI QIDQ1040902FDOQ1040902
Publication date: 26 November 2009
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-02909-7
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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