A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Year of publication: |
2008
|
---|---|
Authors: | Cheng, Ai-ru ; Gallant, A. Ronald ; Ji, Chuanshu ; Lee, Beom S. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 146.2008, 1, p. 44-58
|
Publisher: |
Elsevier |
Keywords: | Central limit theorem Option pricing Stochastic volatility Foreign exchange Markov chain Monte Carlo |
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg, (2008)
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru (Meg), (2008)
-
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru (Meg), (2008)
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