AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753)
From MaRDI portal
scientific article; zbMATH DE number 7413999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER |
scientific article; zbMATH DE number 7413999 |
Statements
AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (English)
0 references
26 October 2021
0 references
option pricing
0 references
mean-reverting process
0 references
Feynman-Kac formula
0 references
0 references
0 references
0 references
0 references
0 references
