For Publishers
DiscoveryMetadataPeer reviewHostingPublishing
For Researchers
JoinPublishReviewCollect
Register
Blog
About
Search
Advanced search
My ScienceOpen
Search
For Publishers
For Researchers
Blog
About
2
views
31
references
 Top references
cited by
0
    
0 reviews
 Review
0
comments
 Comment
0
recommends
+1 Recommend
0 collections
    0
    shares
      1,675
      similar
       All similar
      • Record: found
      • Abstract: not found
      • Article: not found

      Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion

      Author(s): , , ,
      Publication date Created:
      Publication date (Print):
      Journal: Mathematics and Computers in Simulation
      Publisher: Elsevier BV

      Read this article at

      ScienceOpenPublisher
      Bookmark
          There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.

          Related collections

          Most cited references31

          • Record: found
          • Abstract: not found
          • Article: not found

          The Pricing of Options and Corporate Liabilities

          Fischer Black, Myron Scholes (1973)
          Article 0 comments Cited 1787 times – based on 0 reviews     Review now
            Bookmark
            • Record: found
            • Abstract: not found
            • Article: not found

            A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

            Steven L. Heston (1993)
            Article 0 comments Cited 694 times – based on 0 reviews     Review now
              Bookmark
              • Record: found
              • Abstract: not found
              • Article: not found

              The valuation of options for alternative stochastic processes

              John C. Cox, Stephen A. Ross (1976)
              Article 0 comments Cited 255 times – based on 0 reviews     Review now
                Bookmark
                All references

                Author and article information

                Contributors
                Journal
                Title: Mathematics and Computers in Simulation
                Abbreviated Title: Mathematics and Computers in Simulation
                Publisher: Elsevier BV
                ISSN (Print): 03784754
                Publication date Created: January 2025
                Publication date (Print): January 2025
                Volume: 227
                Pages: 41-57
                Article
                DOI: 10.1016/j.matcom.2024.07.030
                SO-VID: d3856a6e-790f-40ca-a321-06d29e68872e
                Copyright © © 2025
                License:

                https://www.elsevier.com/tdm/userlicense/1.0/

                https://www.elsevier.com/legal/tdmrep-license

                History

                Data availability:

                Comments

                Comment on this article