𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Pricing of mountain range derivatives under a principal component stochastic volatility model

✍ Scribed by Marcos Escobar; Pablo Olivares

Book ID
112007220
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
670 KB
Volume
29
Category
Article
ISSN
1524-1904

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A non-lattice pricing model of American
A non-lattice pricing model of American options under stochastic volatility
✍ Zhe Zhang; Kian-Guan Lim πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 220 KB πŸ‘ 1 views

In this article, an analytical approach to American option pricing under stochastic volatility is provided. Under stochastic volatility, the American option value can be computed as the sum of a corresponding European option price and an early exercise premium. By considering the analytical property

A new scheme for static hedging of Europ
A new scheme for static hedging of European derivatives under stochastic volatility models
✍ Akihiko Takahashi; Akira Yamazaki πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 138 KB πŸ‘ 1 views

## Abstract This study proposes a new scheme for static hedging of European path‐independent derivatives under stochastic volatility models. First, we show that pricing European path‐independent derivatives under stochastic volatility models is transformed to pricing those under one‐factor local vo