Valuation of power options under Heston's stochastic volatility model (Q311037): Difference between revisions

@@ Property / DOI @@
-.1016/j.jedc.2012.05.005
@@ Property / DOI: 10.1016/j.jedc.2012.05.005 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B70
@@ Property / Mathematics Subject Classification ID: 91B70 / rank @@
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@@ Property / zbMATH DE Number @@
+6630513
@@ Property / zbMATH DE Number: 6630513 / rank @@
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@@ Property / zbMATH Keywords @@
+power option
@@ Property / zbMATH Keywords: power option / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+Heston model
@@ Property / zbMATH Keywords: Heston model / rank @@
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@@ Property / zbMATH Keywords @@
+change of numeraire
@@ Property / zbMATH Keywords: change of numeraire / rank @@
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@@ Property / zbMATH Keywords @@
+Fourier transform
@@ Property / zbMATH Keywords: Fourier transform / rank @@
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@@ Property / describes a project that uses @@
+Mathematica
@@ Property / describes a project that uses: Mathematica / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jedc.2012.05.005
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@@ Property / OpenAlex ID @@
+W2009445547
@@ Property / OpenAlex ID: W2009445547 / rank @@
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@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing and hedging power options
@@ Property / cites work: Pricing and hedging power options / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+A class of quadratic options for exchange rate stabilization
+Normal rank
@@ Property / cites work @@
+Q2712357
@@ Property / cites work: Q2712357 / rank @@
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@@ Property / DOI @@
+.1016/J.JEDC.2012.05.005
@@ Property / DOI: 10.1016/J.JEDC.2012.05.005 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:311037