Option Valuation under Stochastic Volatility II: With Mathematica Code

By D. Pottinton. 2017

104 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/6963c5dc9237a56aabfe4065e6e0d314abac9b7f

Citations in the corpus

• The truncated Euler-Maruyama method for stochastic differential equations (2015, unknown): “, [19]) dx(t) = (μ− αx(t))dt+ σx(t)dB(t), β, θ > 1, μ, α, σ > 0, (2.”