Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Guangping Shi, Xiaoxing Liu, Pan Tang
| Year of publication: |
February 2016
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|---|---|
| Authors: | Shi, Guangping ; Liu, Xiaoxing ; Tang, Pan |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 16.2016, p. 220-229
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| Subject: | Non-affine stochastic volatility | Option pricing | High-order compact finite difference method | Variable mixed derivatives | Nonlinear coefficients | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2015.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656186