Option pricing under hybrid stochastic and local volatility

被引：35
|
作者：
Choi, Sun-Yong [1 ]
Fouque, Jean-Pierre [2 ]
Kim, Jeong-Hoon [1 ]
机构：
[1] Yonsei Univ, Dept Math, Seoul 120749, South Korea
[2] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93016 USA
来源：
QUANTITATIVE FINANCE | 2013年 / 13卷 / 08期
基金：
美国国家科学基金会; 新加坡国家研究基金会;
关键词：
CONSTANT ELASTICITY; LOOKBACK; MODEL;
D O I：
10.1080/14697688.2013.780209
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：1157 / 1165
页数：9
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