Hermite polynomial based expansion of European option prices (Q469560)
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scientific article; zbMATH DE number 6367955
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hermite polynomial based expansion of European option prices |
scientific article; zbMATH DE number 6367955 |
Statements
Hermite polynomial based expansion of European option prices (English)
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11 November 2014
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option valuation
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closed-form expansion
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mean-reversion
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self-exciting jumps
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double exponential jumps
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0.8935915
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0.8734597
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0.86505014
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0.8594893
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0.8581593
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0.85754275
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0.8567979
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0.8491605
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