Valuation of power options under Heston's stochastic volatility model (Q311037): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / zbMATH DE Number: 6630513 / rank | |||
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power option | |||
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stochastic volatility | |||
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Heston model | |||
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Revision as of 23:59, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of power options under Heston's stochastic volatility model |
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Valuation of power options under Heston's stochastic volatility model (English)
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28 September 2016
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power option
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stochastic volatility
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Heston model
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change of numeraire
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Fourier transform
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