A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Year of publication: |
2019
|
---|---|
Authors: | Huh, Jeonggyu ; Jeon, Jaegi ; Kim, Jeong-Hoon ; Park, Hyejin |
Subject: | Asymptotics | Dimension reduction | Illiquid market | Multi-asset | Multi-scale | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
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