Pricing american options under stochastic volatility and stochastic interest rates
ContributorsMedvedev, Alexey; Scaillet, Olivier
Collection
- Cahiers de recherche; 2007.10
Publication date2007
Abstract
Keywords
- American options
- Stochastic volatility
- Stochastic interest rates
- Asymptotic approximation
Affiliation entities
Citation (ISO format)
MEDVEDEV, Alexey, SCAILLET, Olivier. Pricing american options under stochastic volatility and stochastic interest rates. 2007
Main files (1)
Report
Identifiers
- PID : unige:5730