AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS (Q5239770)
From MaRDI portal
scientific article; zbMATH DE number 7121082
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS |
scientific article; zbMATH DE number 7121082 |
Statements
22 October 2019
0 references
Mellin transform
0 references
stochastic elasticity of variance
0 references
multiscale analysis
0 references
Ornstein-Uhlenbeck process
0 references
AN APPROXIMATED EUROPEAN OPTION PRICE UNDER STOCHASTIC ELASTICITY OF VARIANCE USING MELLIN TRANSFORMS (English)
0 references
