Option pricing with mean reversion and stochastic volatility
Hoi Ying Wong; Yu Wai Lo
| Year of publication: |
2009
|
|---|---|
| Authors: | Wong, Hoi Ying ; Lo, Yu Wai |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 197.2009, 1 (16.8.), p. 179-187
|
| Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Mean Reversion | Mean reversion | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003828865