A finite element approach to the pricing of discrete lookbacks with stochasic volatility
Year of publication: |
1999
|
---|---|
Authors: | Forsyth, Peter A. ; Vetzal, Kenneth R. ; Zvan, R. |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 6.1999, 2, p. 87-106
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory |
-
Stochastic volatility with an Ornstein-Uhlenbeck process : an extension
Schöbel, Rainer, (1998)
-
A stochastic volatility libor model and its robust calibration
Belomestny, Denis, (2007)
-
Hausmann, Wilfried, (2007)
- More ...
-
Robust numerical methods for PDE models of Asian options
Zvan, R., (1998)
-
Convergence of numerical methods for valuing path-dependent options using interpolation
Forsyth, Peter A., (2002)
-
Negative coefficients in two-factor option pricing models
Zvan, R., (2003)
- More ...