A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A Gaussian approximation scheme for computation of option prices in stochastic volatility models |
scientific article; zbMATH DE number 6592942
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Gaussian approximation scheme for computation of option prices in stochastic volatility models |
scientific article; zbMATH DE number 6592942 |
Statements
A Gaussian approximation scheme for computation of option prices in stochastic volatility models (English)
0 references
13 June 2016
0 references
central limit theorem
0 references
option pricing
0 references
stochastic volatility
0 references
foreign exchange
0 references
Markov chain Monte Carlo
0 references
0 references
