A closed-form pricing formula for European options under the Heston model with stochastic interest rate (Q1743938): Difference between revisions

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Latest revision as of 11:33, 15 July 2024

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A closed-form pricing formula for European options under the Heston model with stochastic interest rate
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    A closed-form pricing formula for European options under the Heston model with stochastic interest rate (English)
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    16 April 2018
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    European option
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    series solution
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    stochastic interest rate
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    convergence
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