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"Asymptotic expansion method for pricing and hedging American options with ..."

Sumei Zhang, Jianke Zhang (2020)

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DOI: 10.1080/00207160.2019.1579316

access: closed

type: Journal Article

metadata version: 2020-04-03

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Sumei Zhang, Jianke Zhang:
Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate. Int. J. Comput. Math. 97(3): 546-563 (2020)

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