A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility

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Publication:4628041

DOI10.1080/14697688.2018.1468081zbMath1407.91250OpenAlexW2807192231WikidataQ129713487 ScholiaQ129713487MaRDI QIDQ4628041

Hye Jin Park, Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim

Publication date: 6 March 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1468081




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