A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597): Difference between revisions

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Revision as of 19:31, 22 July 2024

scientific article; zbMATH DE number 7206833
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English
A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL
scientific article; zbMATH DE number 7206833

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    A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (English)
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    2 June 2020
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    rough Heston-CIR model
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    semi-analytical
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    fractional Riccati equation
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    European options
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