A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945)
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scientific article; zbMATH DE number 6833180
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multiscale extension of the Margrabe formula under stochastic volatility |
scientific article; zbMATH DE number 6833180 |
Statements
A multiscale extension of the Margrabe formula under stochastic volatility (English)
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1 February 2018
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Margrabe's formula
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exchange option
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stochastic volatility
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multiscale
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Greeks
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