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Option valuation under stochastic volatility: with mathematica code · Study

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ArticleOption valuation under stochastic volatility: with mathematica code

Alan Lewis2002

Article2002

Option valuation under stochastic volatility: with mathematica code

228 citations·0/0 files stored·Wilmott

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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2007Option pricing when correlations are stochastic: an analytical framework 2006Options and Bubbles 2010Asymptotic analysis for stochastic volatility: martingale expansion 2010Time Dependent Heston Model 2007A new approach for option pricing under stochastic volatility 2005A General Asymptotic Implied Volatility for Stochastic Volatility Models 2007LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING 2010The Econometrics of Option Pricing

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Year2002

Typearticle

Published2002-12-01

VenueWilmott

ISSN-L1540-6962

Languageen

Citations228

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/wilm.42820020108

openalex_workW1998494738

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