Stochastic volatility and correlated interest rates : American pricing compound options
收藏DataCite Commons2024-07-18 更新2025-04-17 收录
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https://researchdata.up.ac.za/articles/dataset/Stochastic_volatility_and_correlated_interest_rates_American_pricing_compound_options/26321326
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资源简介：
We explore several explicit and alternating-direction implicit (ADI) finite difference methods for pricing compound options with early exercise opportunities. Stock prices, stock price volatilities, and interest rates are assumed to follow correlated stochastic processes.
提供机构：
University of Pretoria
创建时间：
2024-07-17
