A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim and Hyejin Park
| Year of publication: |
2019
|
|---|---|
| Authors: | Huh, Jeonggyu ; Jeon, Jaegi ; Kim, Jeong-Hoon ; Park, Hyejin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 155-175
|
| Subject: | Asymptotics | Dimension reduction | Illiquid market | Multi-asset | Multi-scale | Stochastic volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1468081 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194627