Valuation of Standard Call Options Using the Euler–Maruyama Method with Strong Approximation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-022-10258-2.pdf
Reference23 articles.
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3. Chaoqun, Ma., Zonggang, Ma., & Shisong, X. (2019). A closed-form pricing formula for vulnerable European options under stochastic yield spreads and interest rates. Chaos, Solitons & Fractals, 123, 59–68. https://doi.org/10.1016/j.chaos.2019.03.038
4. Das, S., & Sundaram, R. (1999). Of smiles and smirks: A term-structure perspective. The Journal of Financial and Quantitative Analysis, 34(2), 211–239. https://doi.org/10.2307/2676279
5. Davis, M. (2004). Complete-market models of stochastic volatility. The Royal Society, 460, 11–26.
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