Application of power series approximation techniques to valuation of European style options
DOI10.1080/14697688.2020.1809696zbMATH Open1477.91054OpenAlexW3097214792MaRDI QIDQ5014193FDOQ5014193
Authors: Nikolay Gudkov, Jonathan Ziveyi 
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1809696
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stochastic volatilityEuropean optionvariable annuitiesstochastic interest rateFourier transformspower series representation
Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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