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pro vyhledávání: '"Reddy, Matta Uma Maheswara"'
Autor:
Reddy, Matta Uma Maheswara
In this paper, we derive the price of a European call option of an asset following a normal process assuming stochastic volatility. The volatility is assumed to follow the Cox Ingersoll Ross (CIR) process. We then use the fast Fourier transform (FFT)
Externí odkaz:
http://arxiv.org/abs/1909.08047
Publikováno v:
In Measurement June 2019 139:40-48
