A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597): Difference between revisions
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scientific article; zbMATH DE number 7206833
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL |
scientific article; zbMATH DE number 7206833 |
Statements
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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