Login / Signup

Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate.

Sumei ZhangJianke Zhang
Published in: Int. J. Comput. Math. (2020)
Keyphrases
  • option pricing
  • stochastic model
  • stochastic optimization
  • monte carlo
  • learning automata
  • dynamic programming
  • bit rate
  • united states
  • stochastic processes
  • transaction costs