A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411)
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scientific article; zbMATH DE number 7745059
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model |
scientific article; zbMATH DE number 7745059 |
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A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (English)
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2 October 2023
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fractional volatility
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Ornstein-Uhlenbeck process
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constant elasticity of variance
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martingale method
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option pricing
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