Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547)
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scientific article; zbMATH DE number 7475942
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate |
scientific article; zbMATH DE number 7475942 |
Statements
Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (English)
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17 February 2022
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American options
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option pricing
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hedging
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asymptotic expansion
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double Heston model
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stochastic interest rate
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