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초록
We deal some analytic calculations for European option pricing by using the theory of elementary solution of generalized diffusion equation mainly.
키워드
SDE; volatility asset model; diffusion process; elementary solution of diffusion equation; European option pricing
- 제목
- Analytic calculation of european option pricing in stochastic volatility asset model
- 저자
- 오재필
- 발행일
- 2012-03
- 유형
- Y
- 저널명
- 한국수학논문집
- 권
- 20
- 호
- 1
- 페이지
- 47 ~ 60