Evaluation of compound options using perturbation approximation Jean-Pierre Fouque∗ and Chuan-Hsiang Han† - Perturbation - Document - PDFSEARCH.IO

First Page	Meta Content
	Evaluation of compound options using perturbation approximation Jean-Pierre Fouque∗ and Chuan-Hsiang Han† Add to Reading List Document Date: 2006-01-18 14:57:12 Open Document File Size: 240,05 KB Share Result on Facebook Company L BS / / Currency pence / / / Facility North Carolina State University / University of Minnesota / / IndustryTerm structured product / explicit solution / differential operator / close-form solution / / Organization North Carolina State University / Raleigh / Department of Mathematics / Institute for Mathematics / University of Minnesota / / Person Chuan-Hsiang Han† April / Jean-Pierre Fouque / / / ProvinceOrState Minnesota / / SocialTag Finance Investment Volatility Implied volatility Black–Scholes Stochastic volatility Mathematical finance Financial economics Options

Evaluation of compound options using perturbation approximation Jean-Pierre Fouque∗ and Chuan-Hsiang Han†Add to Reading List