Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics
Jun Hu, Juho Kanniainen (Department of Industrial Management, Tampere University of Technology, Tampere, Finland)
Year of publication: |
August 2015
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Authors: | Hu, Jun ; Kanniainen, Juho |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 14.2015, p. 1-10
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Subject: | Option pricing | Series expansion | PDE | Stochastic volatility | Non-affine models | Stochastischer Prozess | Stochastic process | Experiment | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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