Open AccessFinite Volume Method for Pricing European Call Option with Regime-switching Volatility
Author(s) -
Mey Lista Tauryawati,
Chairul Imron,
Endah Rokhmati Merdika Putri
Publication year - 2018
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/974/1/012024
Subject(s) - economics , volatility (finance) , call option , financial economics , volume (thermodynamics) , implied volatility , econometrics , thermodynamics , physics