Numerical Comparison Of Pricing Of European Call Options For Mean Reverting Processes
Fecha
2013-02-01
Autores
Freddy H. Marin sanchez
Vargas, Camilo
Pinzon, Margarita
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Resumen
We propose a change of probability measure that allows to find a partial differential equation for valuing European call options on processes mean reversion, whose solution is approximated numerically by Adomian decomposition method.