Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (Q5225364)
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scientific article; zbMATH DE number 7083798
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate |
scientific article; zbMATH DE number 7083798 |
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Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (English)
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22 July 2019
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timer option pricing
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stochastic volatility model
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risk neutral measure
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\(\Delta\)-hedging
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time-varying interest rate
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0.91073513
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0.89352095
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0.89262813
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0.8825455
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0.87368757
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