Pricing options under stochastic volatility: A power series approach

Finance and Stochastics

Volumn 13, Issue 2, 2009, Pages 269-303

  Antonelli, Fabio ^a   Scarlatti, Sergio ^b  

^a UNIVERSITY OF L'AQUILA   (Italy)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

Author keywords

Duhamel's principle; Options; PDEs; SDEs; Stochastic volatility

Indexed keywords

EID: 67349251270     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-008-0086-4     Document Type: Article

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