Finding the derivative price using the Vasicek model with multidimensional stochastic volatility
Methods of calculating the approximate price of options using instruments of spectral analysis, singular and regular wave theory in the context of influence of fast and slow acting factors are developed. By combining methods from the spectral theory of singular and regular disturbances, one can appr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2020-01-01
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| Series: | Управління розвитком |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13036/DM_2019_04_Burtnyak.pdf |