A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 04:35, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A decomposition formula for option prices in the Heston model and applications to option pricing approximation |
scientific article |
Statements
A decomposition formula for option prices in the Heston model and applications to option pricing approximation (English)
0 references
15 November 2012
0 references
stochastic volatility
0 references
Heston model
0 references
Itô calculus
0 references
