Pricing options on a mean-reverting asset by the analytical operator splitting method
Year of publication: |
2022
|
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Authors: | Lo, C. F. ; He, Y. W. |
Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 9.2022, 2, Art.-No. 2150002, p. 1-16
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Subject: | inhomogeneous geometric Brownian motion | Mean-reverting asset | operator splitting method | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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