Multiscale stochastic elasticity of variance for options and equity linked annuity; A Mellin transform approach.
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| Title: | Multiscale stochastic elasticity of variance for options and equity linked annuity; A Mellin transform approach. |
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| Authors: | Seo, Jun-Ho1, Kim, Jeong-Hoon1, jhkim96@yonsei.ac.kr |
| Source: | Mathematics & Computers in Simulation; Feb2022, Vol. 192, p303-320, 18p |
| Database: | Applied Science & Technology Source |
| ISSN: | 03784754 |
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| DOI: | 10.1016/j.matcom.2021.09.003 |
