Analytical Operator Splitting Approximation for Pricing CEV Spread Options
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香港中文大學研究人員

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著者LO Chi Fai, ZHENG, Xiaofen
會議名稱International conference on Stochastics and Computational Finance - from Academic to Industry -SCF 2015
會議開始日06.07.2015
會議國家/地區葡萄牙
會議論文集題名International conference on Stochastics and Computational Finance - from Academic to Industry -SCF 2015
出版年份2015
月份7
出版地Portugal, Lisbon
語言英式英語
關鍵詞constant elasticity of variance; multi-asset spread option; new splitting approximation

上次更新時間 2018-19-01 於 18:14