EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS (Q5420695): Difference between revisions

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+High order discretization schemes for the CIR process: Application to affine term structure and Heston models
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+A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING
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+The Black-Scholes equation in stochastic volatility models
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+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
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+MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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+Q3995203
@@ Property / cites work: Q3995203 / rank @@
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+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
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+https://doi.org/10.1142/s0219024914500150
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+W2062484228
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