Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (Q5388679)
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scientific article; zbMATH DE number 6025777
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models |
scientific article; zbMATH DE number 6025777 |
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Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (English)
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19 April 2012
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stochastic volatility
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fast mean-reversion
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spectral theory
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options
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approximate price
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