Pricing turbo warrants under stochastic elasticity of variance
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DOI: 10.1016/j.chaos.2015.11.043
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- Sun-Yong Choi & Sotheara Veng & Jeong-Hoon Kim & Ji-Hun Yoon, 2022. "A Mellin Transform Approach to the Pricing of Options with Default Risk," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1113-1134, March.
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Keywords
Turbo warrant option; Stochastic elasticity of variance; Ornstein–Uhlenbeck process; Multi-scale analysis;All these keywords.
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