Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
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Publication:4634821
DOI10.1080/03610926.2017.1318923zbMath1390.91294OpenAlexW2612491043MaRDI QIDQ4634821
Sergei D. Silvestrov, Ying Ni, Betuel Canhanga, Anatoliy Malyarenko, Milica Rančić
Publication date: 11 April 2018
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2017.1318923
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
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