Exchange option pricing under stochastic volatility : a correlation expansion
Year of publication: |
2010
|
---|---|
Authors: | Antonelli, Fabio ; Ramponi, A. ; Scarlatti, S. |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 13.2010, 1, p. 45-73
|
Subject: | Devisenoption | Currency option | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
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