Homotopy analysis method for option pricing under stochastic volatility
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Publication:550482
DOI10.1016/j.aml.2011.04.034zbMath1216.91034MaRDI QIDQ550482
Sang-Hyeon Park, Jeong-Hoon Kim
Publication date: 11 July 2011
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2011.04.034
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
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- Asymptotic option pricing under the CEV diffusion
- An explicit series approximation to the optimal exercise boundary of American put options
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