Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
Youssef El-Khatib, Stephane Goutte, Zororo S. Makumbe, Josep Vives
| Year of publication: |
2022
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|---|---|
| Authors: | El-Khatib, Youssef ; Goutte, Stéphane ; Makumbe, Zororo S. ; Vives, Josep |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 44.2022, p. 1-7
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| Subject: | Decomposition formula | Heston-CEV model | Leverage effect | Monte Carlo method | Option pricing | Stochastic volatility | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102072 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014494891