A closed-form approximation formula for pricing European options under a three-factor model (Q5051203)
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scientific article; zbMATH DE number 7621912
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closed-form approximation formula for pricing European options under a three-factor model |
scientific article; zbMATH DE number 7621912 |
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A closed-form approximation formula for pricing European options under a three-factor model (English)
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22 November 2022
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calibration
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double-mean-reverting model
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European option
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implied volatility
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