Option pricing with ambiguous correlation and fast mean-reverting volatilities
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All Author(s) ListLEUNG Man Hau, WONG Hoi Ying
All Editor(s) ListEditors: Masaaki Kijima, Yukio Muromachi and Takashi Shibata.
Book titleRecent Advances in Financial Engineering: Proceedings of the TMU Finance Workshop 2014
Series TitleEditors: Masaaki Kijima, Yukio Muromachi and Takashi Shibata.
Detailed descriptionEditors: Masaaki Kijima, Yukio Muromachi and Takashi Shibata.
Year2016
PublisherWorld Scientific
Pages133
LanguagesEnglish-United Kingdom
KeywordsAmbiguous correlation; Asymptotic; HJB equation

Last updated on 2018-20-01 at 18:16