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      Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion

      Author(s): , , ,
      Publication date Created:
      Publication date (Print):
      Journal: Mathematics and Computers in Simulation
      Publisher: Elsevier BV

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          The Pricing of Options and Corporate Liabilities

          Fischer Black, Myron Scholes (1973)
          Article 0 comments Cited 1785 times – based on 0 reviews     Review now
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            A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

            Steven L. Heston (1993)
            Article 0 comments Cited 694 times – based on 0 reviews     Review now
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              The valuation of options for alternative stochastic processes

              John C. Cox, Stephen A. Ross (1976)
              Article 0 comments Cited 254 times – based on 0 reviews     Review now
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                Author and article information

                Contributors
                Journal
                Title: Mathematics and Computers in Simulation
                Abbreviated Title: Mathematics and Computers in Simulation
                Publisher: Elsevier BV
                ISSN (Print): 03784754
                Publication date Created: January 2025
                Publication date (Print): January 2025
                Volume: 227
                Pages: 41-57
                Article
                DOI: 10.1016/j.matcom.2024.07.030
                SO-VID: d3856a6e-790f-40ca-a321-06d29e68872e
                Copyright © © 2025
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                https://www.elsevier.com/tdm/userlicense/1.0/

                https://www.elsevier.com/legal/tdmrep-license

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