Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities
type: Item
instance of: scholarly article
title: Advanced Monte Carlo pricing of European options in a market model with two stochastic volatilities
zbMATH Open document ID: 1471.91616
DOI: 10.1007/978-3-030-41850-2_36
author: Betuel Canhanga
author: Anatoliy Malyarenko
author: Jean-Paul Murara
author: Ying Ni
author: Sergei Silvestrov
publication date: 2021-09-08T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65D32
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7392817
zbMATH Keywords: stochastic volatility
zbMATH Keywords: market model
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
full work available at URL: 978-3-030-41850-2 36
OpenAlex ID: W2946774715
description: scientific article; zbMATH DE number 7392817